As you have noticed, the current implementation of DotNetNuke uses the "admin" skin when loading a control using the syntax http://mydomain.com/default.aspx?tabid=1&ctl=MyControlKey&mid=123 (http://mydomain.com/tabid/1/ctl/MyControlKey/mid/123/default.aspx is the friendly URL).  To get around this you will have to create your own dispatch control to handle loading and unloading the appropriate child controls.  Essentially this method uses the same technique as used by the DNN core:

1. Use LoadControl(MyUserControl.ascx) to instantiate a new control for the page you want loaded
2. Set the ModuleConfiguration property for the new control equal to the ModuleConfiguration for the dispatch control
3. Add the new control to you dispatch controls controls collection (or optionally use the controls collection of a placeholder control on the dispatch control)

Below is an example of some code I use for the Marketplace Product Listing module (NOTE:  I have some extra code to handle setting properties on the child control as well as hooking up event handlers for events raised from the child control.  You may or may not need these extra bits, but they are included here to show that you have lots of options when loading your own controls)