How do I theme (add extra markup to) menu links in Drupal 7?
It calls theme('links__system_secondary_menu'). By default, there is no theme_links__system_secondary_menu, so I guess it is calling theme_links. Looking at the function, all you have to do is copy it to your theme as THEMENAME_links__system_secondary_menu, then change the call to l() to something like:

$link['html'] = TRUE;
$output .= l('&lt;span class="whatever"&gt;' . $link['title'] . '&lt;/span&gt;', $link['href'], $link);


The html => true is required or l() will strip the html out of its first parameter.