theremin as volume controller

There are no presently manufactured MIDI theremins.

You could get an instrument with a CV output, or add one to an Etherwave (I believe it isn't very hard to do with the Etherwave), and then use a CV to MIDI converter. They're rather expensive, but they exist.

What your computer does with the resulting MIDI data is up to your software.

PAiA have a theremin kit that has CV out, and they also have a CV-midi kit, so that would be able to do it.

and if you get the new midi jaycar theremin http://www.thereminworld.com/forum.asp?cmd=p&T=1047&F=715
you could use a program like midiox to convert the note data into cc data.

It's not midi at all, but Zachary Vex makes a theremin volume control circuit as a stompbox.

http://www.zvex.com/trem.html