The thought never really occured to me, but its quite a possibility. But then again they may just have those weapons included in their fatalities since it may be more characteristic of baraka to use his blades and nightwolf to use his tomahawk.
It would be nice to see more fataliteis like this though

Unless Mileena's weapon is her opponent's leg through out the match not her sai's, then you're probably right but as far as I see fatalities are random and not every character will use their weapons in one of their two fatalities. The thought crossed my mind actually.