You can place a PDF in Photoshop as a smart object.
If the original was placed, as a PDF, and the OS is set to open PDF files in Preview.. there's the reason. The Smart Object won't change the original data (that's the entire point of Smart Objects). If you place as an .eps, the Smart Object will open as an .eps. I've never seen a placed .eps or .ai file open as a .pdf from double clicking a Photoshop Smart Object. For example, double-clicking a .pdf placed Smart Object on my system will open the embedded .pdf in Acrobat for me. But I don't use Preview for, well, anything if it can be avoided. I dislike Preview and it's drawing bugs.
You may need to, at least briefly, set the OS to open PDFs or EPS files in Acrobat/Reader/Illustrator rather than Preview to circumvent them opening in Preview. Seems, from comments here, that Preview does some file suffix voodoo as well which may be undesirable.
Another option would be to right-click/control-click the Smart Object Layer and choose
Export Contents. This will allow you save the .pdf contents as a .pdf file which you can then drag to Illustrator to open and then subsequently replace the .pdf Smart Object with an Illustrator Smart Object. If the original contents are indeed an .eps, that should allow you to save them as an .eps as well.