I'm not sure about styling the content of the entries in the dropdown list, but you can override the styling of the content area by using the selector body.wysiwygeditor to make it look the way you want. For instance:
body.wysiwygeditor h1 { font-size: 20px; margin: 21px 0 12px 0; }
body.wysiwygeditor h2 { font-size: 18px; margin: 19px 0 12px 0; }
body.wysiwygeditor h3 { font-size: 17px; margin: 18px 0 12px 0; }
body.wysiwygeditor h4 { font-size: 16px; margin: 17px 0 12px 0; }
body.wysiwygeditor h5 { font-size: 15px; margin: 16px 0 12px 0; }
body.wysiwygeditor h6 { font-size: 13px; margin: 14px 0 12px 0; }
body.wysiwygeditor ul, ol { font-family: Arial, Helvetica, Sans-Serif; font-size: 13px; margin: 0 0 0 2em; padding: 0; }
body.wysiwygeditor p { font-family: Arial, Helvetica, Sans-Serif; font-size: 13px; margin: 12px 0; }
Hope that helps,
Jamie