When I ask myself questions like this, I usually find that the UNIX
find command, combined with Adam Brown's Wordpress Hooks site gives me some pointers.
When sitting in a WordPress root, running
find . -name '*.php' | xargs grep -i preview | grep -i action shows that there's 3 hooks that might be useful, although you'd need to experiment a bit. There's
stop_previewing_theme hooked from the
WP_Customize_Manager class in
setup_theme hooked from
Cross-checking Adam's WordPress Hooks site also shows up these hooks; http://adambrown.info/p/wp_hooks/hook/start_previewing_theme, http://adambrown.info/p/wp_hooks/hook/stop_previewing_theme and http://adambrown.info/p/wp_hooks/hook/setup_theme.
setup_theme hooks is also interesting as the hook handler in
preview_theme; hopefully one or a combination of these hooks will give you what you want.