Surprisingly enough, I did it with Jade. Her EX boomerang works wonders against the Shokan bosses, and she's got some solid overheads to counter Mileena. I also did it with Nightwolf and Sektor, but Jade was the first
This is what I did it worked for me, let goro kill you about 10-15 times, every time he kills you just keep hitting retry at the end when it says failed. Every time you retry it should be getting easier until you can beat it. I used scorpion because his flame move is unblockeable and it's easy to spear then and start a combo.