I love fighting Mileena as kitana now, i used to be so scared, but not any more lol.
If you're being zoned, do an EX teleport since it has armor, and it'll protect you from her teleport or sais.
If you're being D4, your poke can beat her d4 if you're close enough, if not, F+2 at the right distance.
When she teleports, you can D1 out of it, it won't hit you whether she ex it or not
If you block her ex tele, wait for her sai, then quickly d1, cutter
you can do a fan lift if you expect shes gonna tele, and it'll catch her,
You're best friend against mileena is D1, do not mash it, she can punish it with a roll if you do.
Bait her, be patient, and don't get pressured by her zoning, 5% chip damage from 5 consecutive sais, is better than eating a 25%+ combo