Paragraph within list item on the visual editor

Let’s say I NEED a list like:

• Item 1: Lorem ipsum dolor sit amet
• Item 2: Nam est nunc, scelerisque sit amet aliquet eget.[PARAGRAPH HERE]§2a: Aliquam vitae velit. Curabitur auctor rutrum consectetur.
• Item 3: Donec feugiat lacus congue lacus scelerisque malesuada.

How to create this paragraph within the list on the visual editor, or I am forced to use line brakes? Or edit on text editor this way:

<ul>
<li>Item 1: Lorem ipsum dolor sit amet</li>
<li>Item 2: Nam est nunc, scelerisque sit amet aliquet eget.
<p>§2a:Aliquam vitae velit. Curabitur auctor rutrum consectetur.</p>
</li>
<li>Item 3: Donec feugiat lacus congue lacus scelerisque malesuada.</li>
<ul>

If I hit Enter, it will create a new list item where I need a p tag. If i stop the list, the paragraph will not be indented like that, so I will be forced to use a indentation on a “solitary” p (horrible approach and nothing semantic, I think, since my paragraph belongs to the list item; the same for br tags).