Grab these TPls from the modules directory and copy them into your theme templates:
views-slideshow-pager-field-item.tpl.php
views-slideshow-pager-field-item.tpl.php

Change views-slideshow-pager-field-item.tpl.php to:
<li id="views_slideshow_pager_field_item_<?php print $variables['location']; ?>_<?php print $variables['vss_id']; ?>_<?php print $variables['count']; ?>" class="<?php print $classes; ?>">
  <?php print $item; ?>
</li>

Change views-slideshow-pager-field-item.tpl.php to:
<ul id="<?php print $widget_id; ?>" class="<?php print $classes; ?>">
  <?php print $rendered_field_items; ?>
</ul>

Change the Views Slideshow pager items in <li> elements so that they are easier to style

Drupal Views Slideshow show pager items as  elements

drupal

PHP