I believe that on any third-party Shopify store, I see the dark theme, but the sort list looks like this, being white, with only the hovered-on option visible:
Can you link me to the page where you are seeing this?
The styling of the select and option tags are highly dependent on an individual theme’s styling.
If you come across a styling issue, I recommend reaching out to the shop with browser and device info to let them know 
On that particular shop I see that it renders fine on non-window devices. For example this is how it looks on a MacOS device using Chrome:
