HTML inside mini-pager navigation control labels
I just spent the last 2 hours trying to solve the same problem, using many different approaches, but I finally managed to get it right.

You just have to override the theme_pager_link function in your theme by copying the code content to template.php and change the return (last line), removing the check_plain() function of the $text variable, leaving it like:

return '&lt;a' . drupal_attributes($attributes) . '&gt;' . $text . '&lt;/a&gt;';