The classic theremin is a single sine wave or triangle VCO, with no filter. Volume is controlled in the same way as pitch, so there are no "jumps" in volume or pitch. They're peculiar things to copy (and even more peculiar to play).
I suggest picking a synth with a wide pitch-bend range then using that to control pitch. Single oscillator, sine wave (or maybe triangle). No filter, with an "organ" style envelope on both pitch and volume (zero attack/decay/release). You could use a resonating filter instead of the vco.
You'll also need a controller for volume (try the mod wheel).
For a typical "space rock"sound add overdrive/chorus/delay (even better a modulating delay), reverb, eq, compression etc. to taste.
The classic way to get these sounds in the 70s and 80s was to use a simple analogue synth. Which synth actually didn't matter much.
Set up the oscillators to taste, then kick off and hold a note. Use the vco pitch and filter frequency/resonance controls manually to get the swoops you require. Modulate both vco and filter using lfos and/or fm, tweaking as you go. Then add delay etc. This is easy to do on hardware, but depending on your controller may be tricky in the box.
A simple Korg Monotron and a delay (though not the Monotron with built-in delay as it doesn't have a resonance control :-/ ) can do this extremely well if you don't mind laying out a bit of cash.