I have done that in the past. But writing a mex function is a lot more tedious than writing a weave.inline string. Think of all the type conversions you have to put up with in mex. Think about how you have to set up a compile infrastructure and how you have to recompile manually for every target platform.

In most cases, I will use weave.inline only for the innermost loop, and all the compilation issues and type conversions will be taken care of for me.