Prevent WordPress from messing my HTML

I assume you are using the text editor…

The example with the blank line in your question would normally be converted by WP to this:

<ol>
<li>Paragraph 1 : text
<p>  Some more text</p></li>
<li>…</li>
</ol>

Wpautop wraps the 2nd line with the p element because of the blank line you created. Your example of WP’s output would indicate wpautop has been disabled (by you or by a plugin).

With wpautop enabled it is pretty easy to add some CSS to create the space you want:

ol li p {
    margin: 1em 0;
}

It might be better to add a class to your ol so the CSS rule only applies where you explicitly name it:

<ol class="my-ol-par">
    <li>Paragraph 1 : text
        <p>  Some more text</p></li>
    <li>…</li>
</ol>

With the CSS:

ol.my-ol-par li p {
    margin: 1em 0;
}

If wpautop is disabled, and you don’t want to enable it, you could always hard code your additional lines within the p element and use the same CSS solution.

UPDATE:

<ol>
    <li>Paragraph 1 : text

        Paragraph 2 : text

        Paragraph 3 : text</li>
    <li>…</li>
</ol>