I've been looking around for a while for a decent Theremin sample set and couldn't find one - but lo and behold, I just realized I've had one for years in the SampleMoog sample library. This is an older 32 bit library but it works fine in Cubase (just had to figure out how to access it).
It has four different Etherwave Theremin patches, I take it sampled from an Etherwave and then manipulated. Each patch has a number of sub sample patches. The example here uses the "Charlie" patch. Some of it is very convincing. You can vary portamento times and control vibrato amount with your mod wheel. There are also a number of other settings. I used a number of these in the example so you can hear portamento, vibrato and some detached playing.
Frankly this could probably fool anyone who's just heard a theremin a few times (which is most people). By the way, the main intent of the SampleMoog library is to give you samples of almost all of the Moog synths. I guess they just threw in the Etherwave (when I got it I had no idea what an Etherwave was - I probably thought it was just another Moog synth).
So now I can write for the instrument without fear that I can't create a decent example of what it should sound like should my playing be insufficient to be used.
I assume only the lack of $ keeps companies from creating a really killer sample set. There's very little financial incentive to do it. If the theremin was as popular as the piano, there would be libraries that only a few people could tell were not the real thing. In reality, there's no reason a synth patch can't pretty much nail the theremin either. It's the playing technique that sets the theremin apart more than the actual synthesized sound.