Once you feed the data structure to Hiccup you should get the expected result:
(require '[hiccup.core :refer [html]])
(def names
["John" "Mary" "Watson" "James"])
(html [:ul
(for [name names]
[:li name])])
;=> "<ul><li>John</li><li>Mary</li><li>Watson</li><li>James</li></ul>"