That's understandable. I don't know what the hell the MK team was really thinking with that ending (aside from just wanting to screw with our heads). Many other endings throughout the series have been completely false as well.
I find it interesting how Shao Kahn tells you to tell Reiko to stop wearing his helmet in Konquest in MKD. I don't think that's so much of a joke, more that it's there to tell us "Yeah, Reiko is not Shao Kahn. Just fyi, y'know".
Also, Reiko doesn't look half bad in that Conquest pic. It would be better if the maroon part of his clothing wasn't shiny/leather, though.