In LR under Edit/Preferences/External Editing/Edit in Photoshop CS 6, I have chosen ProPhoto RGB as my colour space.
That sets the colour space used passing files to Photoshop when you use "Edit in..." and choose Photoshop.
Now, if I save out a file and open it in CS6 and choose Edit/Convert to Profile, the Source Space is given as Adobe RGB (1998).
Do you mean you are exporting a file from LR and opening it in Photoshop? This isn't the same as "Edit in...". In this case (exporting) then you choose the colour space in the export dialogue:
As you see, in this case I've specified sRGB in the export dialogue - even though like you I've set Edit/Preferences/External Editing/Edit in Photoshop to ProPhotoRGB.
Or have I misunderstood you? As a further check - make sure Photoshop reports all profile mismatches. In Photoshop / Edit / Color settings:
Make sure all the Profile Mismatch "Ask when..." options are checked.