As far as I know, this is standard behavior for drafts. I’ve used pretty permalinks on every page I’ve built, and drafts are always directed to the “ugly” URL. If you publish the post, the actual permalink will be set as expected.
Side note: When you edit the draft, you should see the actual permalink listed at the top of the page (small print, just above the title). Even clicking on that will direct you to the “ugly” link.
I suspect it’s tied to the fact that you are viewing a post preview specifically.