The image in the preview comes from an embedded JPEG inside the raw file which was generated by the camera, while the image you see when you open the raw file in Lightroom is generated by Lightroom based on the raw data itself.
The raw image data is captured from the camera at a point before the contrast and color settings are applied by the camera, so any difference in appearance will be from differences in the way the camera, and Lightroom, decided to render the color and contrast.
Every manufacturer’s cameras come with embedded color profiles and contrast curves which dictate how colors and contrast should look when transferring from the raw image data into a full color image, as is done when the camera generates its own JPEG image or the embedded JPEG inside a raw file. These color profiles have subtle differences between manufacturers, for example some of them emphasising skin tones or blue colors, and others taking a more “natural” approach vs wanting their own characteristic “look”. Even the “normal” contrast setting can vary between camera manufacturers.
When using third-party raw editors to generate an image from the same raw data, that third-party raw editor probably won’t use exactly the same color profile and contrast curve as your camera. It also won’t necessarily honor the same contrast curve (or contrast setting) that you selected in-camera. Thus, the image will look different: brighter, darker, less or more contrasty.
If you use raw editing software by the same manufacturer as your camera, you may be able to use the same color and contrast settings that are baked into your camera, ensuring a good result. However, just because something looks “the same as in camera” doesn’t mean it looks better – ultimately, a raw editor will give you greater control over color and contrast than your camera’s built-in settings will, resulting in greater scope to modify the final product.