Nightwolf is cheap in that challenge. All you have to do is spamming lightning with Goro and Kintaro - as they don't jump and lightning is unblockable, it's an easy win. Also, if they happen to send you a projectile, use Nightwolf's absorb to gain life. Mileena is the worst, and Shao Khan is pretty easy with Nightwolf.
Overall, a VERY easy challenge to beat IMO