You can use CSS to change the line-height of your paragraph. You can insert the CSS in the Customizer under the ‘Additional CSS’ tab.

If you want the lines tighter across the whole site, use:

p {
line-height: 1;
}

If you only want it to effect the main content area (with the colored bands of text) use:

.entry-content p {
line-height: 1;
}

In these examples I set the height to ‘1’ I think that what you have be default is 1.5, you can experiment and set yours to anything in between or beyond.

Hope that helps!

-Shaynald