I finished the game and this came to mind: when you pull out your two keyblades, first they are 2 KK and then it's Oblivion and Oathkeeper. So, since you first ''kill'' Xion, and then do DW, Is it possible that one of those 2 KK is Xion's and the other one is Roxas'? This would also explain why when Riku gets Oblivion, he remembers Xion.