Blog editors are not word processors. You will get double spacing between paragraphs in every theme here of which I’m aware.
If you hold shift and press enter that will create a standard break (no blank line). In graphic design/page layout, it is called a soft return.
1. To get standard line spacing on paragraphs (blank line between paragraphs) select all the text in the post, click on the “format” pulldown at the left end of the lower row of icons and select paragraph.
2. If you want a standard paragraph break, at the end of a paragraph, press return/enter.
3. If you want no blank line, hold down shift and then press return/enter.
Formatting poetry http://en.support.wordpress.com/writing-and-formatting-poetry/