If you want it to look like the menu then you need to use markup like the menu. Study the menu markup that is rendered and then create similar markup in source view of the editor.
You cannot make <a> look like <li> but you can wrap your <a> links in <li> elements (within a <ul>) the same as it is in the menu. You may also need to wrap it in a div similar to the menu.
Hope that helps,