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I noticed that if you change the "data-theme" attribute, jQuery Mobile would refresh your theme on the mouseover event. This solution is kind of a hack, but it's simple.
$("a li").attr("data-theme", "a").trigger("mouseout")
Sorry for resurrecting a dead question, but I found this question Google (#6 on the SERP for "jquery mobile change theme") and there was no correct answer.
This worked for me.
$("a li").removeClass("ui-body-b"); //remove old theme
$("a li").addClass("ui-body-a"); //add new theme