The Mopho's filter gives a pretty good "fake" sine wave when self-resonating. Switching off the oscillators and using the filter as the sound generator gets somewhere in the right direction. If necessary add just enough oscillator (or noise) to trigger the filter into resonance with the filter frequency being keyboard controlled.
Convincingly emulating a theremin using a conventional synth isn't entirely straightforward. There are some very distinctive things about the theremin besides its wave forms. In particular the way the start of notes are nearly always not quite spot on pitch even when the instrument is played by an expert, and how pitch and volume interact seamlessly and smoothly.
The smoothness means that any MIDI controlled synth isn't easily going to get there because of MIDI stepping - despite being analogue, the Mopho is entirely MIDI controlled.
Carefully using slide and portamento helps, as does using free-running LFOs set to sine/triangle waves to very slightly and slowly modulate pitch and volume to introduce a hint of random behaviour, along with another pair of LFOs used to generate deliberate vibrato and tremolo.
I'd suggest setting the filter and VCA envelops to an "organ" kind of setting, zero or near zero attack, delay and release. Maybe use the Mopho's third envelope to slowly introduce vibrato/tremolo rather than using only the mod wheel.
The more controllers you have available, the better and fortunately the Mopho has lots of modulation possibilities. Don't be afraid to record the basic track as MIDI only then go back over it recording further controller movements into the MIDI before finally recording the synths audio output.
The little Korg Monotron can produce pretty convincing thereminish kind of sounds, especially with some added delay and chorusing. The ribbon controller is a bit fiddly, but it can swoop around very nicely. Particularly good at Tim Blake (Gong/ Hawkwind) style swoops and burbles. A more expensive approach is to use a synth like the Dark Energy, the (discontinued) MFB Nanozwerk or any synth with voltage controlled filter/pitch and a ribbon controller.
Sure, you could buy a theremin for around the same money as a synth plus ribbon controller, but the synth/controller route has the huge advantage of not having to learn to play a theremin :-)