To add a span element to your menu items, you have to override the layout for mod_menu. You can follow the general approach described in How to override the output from the Joomla! core.
You need to override the following layout from mod_menu:
After copying the files into your template (see How to override the output from the Joomla! core for details) do the following:
In both these files look for the following statement:
<?php echo $linktype; ?>
It should occur three times in both files.
Replace each of these with:
<span><?php echo $linktype; ?></span>
And you're done.
A span element is present by default so there is no need to add it manually.