Lists aren't allowed in paragraphs - there's no way to do it, it's semantically impossible.
If you want the list to inherit styles from the paragraph, just add the UL element to the same CSS styles as your P elements:
eg:
p, ul { font-size: 12px; }
or better yet, encase both elements in something logical (section, article, div).
You've got to ask yourself why you want the list inside the paragraph. If it's because you want them styled the same, then you want them both in the same containing element, eg:
<article>
<p>Paragraph of text</p>
<ul>
<li>List</li>
</ul>
<p>Next paragraph</p>
</article>
and then style the article.