Disable shape detection in Preview's annotation tools
It's currently not possible to disable the shape detection used by default in the markup tools.

If your drawing is recognized as a standard shape, it’s replaced by that shape; to use your drawing instead, choose it from the palette that’s shown.

Source: https://support.apple.com/kb/PH20218
You can provide feedback to Apple here:

http://www.apple.com/feedback/macos.html