Scorpion is definitely the toughest ninja for Mileena, but it's still a cake-walk for her. The threat of Scorpions specials just force her to play more cautious than against Subz or Reptile.
SCORPION
Pray you're not facing an elite Mileena! Stupid Mileenas are easy to win this match against, but you won't get any telekicks out of an elite. But elite Mileenas sai, and that is when you have to be ready to telepunch, possibly with a spear combo depending where you hit her. Aggressive is the way to go, but it's also very dangerous vs her. Crossovers (looking to air throw) are a good idea. Pressure with sweeps, try to confuse her with telepunches in the air that won't hit her if she blocks. NEVER spear from within sweep distance. Game, set and match if you do! Anti-air her jump-ins with his roundhouse, but of course watch out for quick jump forward air sai. Walk-forward spears are great, and very surprising even vs elites.
MILEENA
Staying on the ground is a good idea in this match, as it's really the only way you open yourself up to punishment. Throwing sai from the ground IS a good idea in this match. Sais from within sweep distance are usually very safe because Scorpion is usually blocking when Mileena gets near him, leery of her roll. Her sai will hit Scorpion almost no matter what he does (even if its just chip damage). If he's dumb enough to spear from within sweep, block it, then roll/jump punch/air sai, or a safer combo is roll/JK. Air sai sparingly. I only use this from around sweep distance to try to get Scorpion to roundhouse into them. NEVER telekick. I always yell at my sister for telekicking vs Scorpion. Even if Scorpion is on danger, he can easily anti-air her telekick if anticipated. Roll instead.
If you really want a good estimation of this match up,
MIKECALDWELL and I did 20 matches of this last year, using Mileena for 10, and Scorpion for 10. We each blitzed the other's Scorpion 9-1 with Mileena.
This is a 9-1 match. Scorpion, per usual, gets mortalized by top tier.