I found this post while searching for help on this topic myself. I figured out a solution, and thought I'd share. This will surely be months too late to help you with the site you were working on, but for future knowledge, this *is* indeed possible.
Steps to view an unpublished product in an unpublished theme:
1. Preview the theme you'd like to view the product in
2. In the Preview Bar that Shopify adds in the site click 'Share Preview' and copy the link.
3. Go to your unpublished product, and click 'Preview'.
4. This will land you at a URL that looks something like
5. Copy this part
6. Append that to your theme preview link and it should preview your product in your desired theme.
Thank you @tywayne for posting, this should be the accepted answer.
I was looking for how to find that preview url for the unpublished theme so I could append that products-preview link, didn't notice the "share preview" button!