After some consideration my mind wandered off from moar modules, to... playing.
Twisting knobs and playing theremin won't go together very... um... melodically, right?
Yes and no. It's true that the OG theremins had minimal timbral control. But in the present day, you've got Peter Blasser making his post-West Coast devices which sometimes house multiple theremin circuits, with the ability to mess with those to use them for all sorts of purposes. The Deerhorn Organ (https://ciat-lonbarde.net/ciat-lonbarde/deerhorn/index.html) actually has three different theremin controllers, with the ability to patch them into all sorts of configurations.
Is an expression pedal module worth consideration?
Can be, sure. But you can just as easily use a passive expression pedal between patchpoints with no need for an external pedal module, or an active one as long as it outputs a 0V to +5V voltage range. I like some of the smaller pedals coming out of China these days, such as https://www.amazon.com/Sonicake-Vexpress-Passive-Expression-Effects/dp/B077PVVC38/ref=sr_1_14?crid=2UEUU3PEQ1ANY&keywords=expression+pedal&qid=1662014966&sprefix=expression+pedal%2Caps%2C92&sr=8-14 They're sturdy, small, and inexpensive so that if you wanted to use a few of them, all you'd need is the long 3.5mm to 1/4" cables to go to and from the modules. I have a few of those Sonicakes, btw...got one some time back, and it was a real "convincer".
I would rather not look too much into guitar pedals as an fx alternative (researching modular is enough).
Oh, yeah...I've got a good "library" of them, and thanks to Ryan over at 60 Cycle Hum on YT making his jaw-dropping clip about the Cuvave fuzz , I got deep into the Chinese stompboxes. And the "why" there gets explained by that YT clip...these Chinese pedals are really more like little boxes of sonic surprises. Yes, a huge number of them are supposed to be clones of existing models from other manufacturers, but note that "supposed to be" part. Given differences in component tolerance, the reverse engineering processes they use, and on and on...they never exactly behave like their counterparts. So when, for example, I hooked up a Joyo "Classic Flanger" and expected basic plain-jane flanging but instead got something like MXR's wall-powered tripout-monster (not in production these days) from the 1970s...yeah, that's why I get these things. Just check all of the YT demos by bunches of YT creators and see how things sound in various hands, and you'll see what I'm talking about here.
One I will suggest, though, is Aural Dream's "Breath Delay". Basic analog delay...except for this one little switch marked "NO" and "GH". And what THAT does is to let you build up layers of stuff on the delay tails when it's set to "GH" (for "GHost", with "NO" for "NOrmal" operation). It's a little bit like Clouds, minus the ability to directly manipulate what's in its signal path like the synth module. Unlike Clouds, though, the pedal costs less than $30.
Do you use your theremini as an cv source?
-- krmk
Oh, yeah...and that can get fun when I start messing with the CV once it's out of the Theremini. Using one to "control" a Wavetek function generator is simply NUTS due to the different CV standards, for example, but it can do things that you can't get to with just the knobs on that device.