Hello,
You are adding a paragraph inside a list item, so when phpdocx transforms HTML to DOCX it generates a w:p for the list item and other w:p for the paragraph (both elements are paragraph in OOXML).
We recommend you to avoid adding a paragraph element inside a list item:
$docx->embedHTML('<ul><li>Some text.</li></ul>');
or use an inline tag:
$docx->embedHTML('<ul><li><span>Some text</span>.</li></ul>');
Regards.