I'm finding this interesting. I'm not sure my comments will be much use as I don't use pitch-preview. However, maybe one of the reasons I don't use it will be of interest.
My only theremin that has a pitch-preview facility is the Wavefront. When I've tried it, my problem hasn't been differentiating the sound of the theremin from other music (CD backing tracks, either piano or orchestral) but differentiating the sound I hear through earbud/earphones from the externally audible sound of the theremin. Because the two sounds (one heard by each ear) are identical in tone, there's a point with the volume where I'm not sure whether the external sound is audible yet or not. (Sorry ... it's hard to explain clearly). I've tried the preview volume at different settings, but there's always a point where both are so similar I'm not sure whether I'm audible yet to the invisible "audience". Therefore, I suspect that a pitch-preview that can be tonally different would fix this. Pitchwise, both would be identical, but I'd be able to tell which was which, and adjust/play accordingly.
Like Jeff S, I have impaired hearing, (also I have tinnitus ... hearing a loud whistling/ringing in my ears all the time anyway, just to make playing the theremin even harder!!!) Like Jeff, I find it easier to "hear" the theremin when I play in higher octaves - and sharper tones seem easier to grasp.
There are other reasons I've avoided pitch-preview, although I guess these aren't so relevant. While I fully accept it's a "must" if playing with an orchestra or other musicians (and you need to "come in" without pitch-fishing), as that's never going to happen, and 99% of my playing time I'm alone, then previewing the note is of little use to me. I also believe that, in the primary stages of learning this instrument, it's better to develop good (or as good as possible) intuitive playing, rather than relying on a "safety-net". I'm not one of those who see pitch-preview as cheating, but neither do I see it as a useful learning tool; it's not like using stabilizers on a bicycle until you get your balance. Rather, I see it as something valuable for players who've reached a reasonably professional level and may want to perform in public and, understandably, prefer to ensure there performance is the best it can be.
Finally, the other reason I don't use pitch-preview is that, (perhaps unnecessarily), I have safety issues! The first and only time I used an ear bud (borrowed from an i-Pod), the bud got very, VERY hot within a minute or so, to the point of burning my ear. (It also wrecked the bud so that I got next to zero volume out of it via the i-Pod afterwards). I've been afraid to use an earbud again in case of damage to the ear. (Any suggestions re safe ear buds would be appreciated). Standard "can" earphones seem fine - but in the unlikely event of me playing in public wearing phones over one ear isn't a look I'd like to go for!
Anyway, in short, a pitch-preview with a different tone might work for me, and may tempt me to try preview again! Good idea.