In Timothy Zahn's novel Allegiance, Mara Jade, still as Emperor's Hand, uses a (violet-colored) lightsaber. In (Timothy Zahn's, again) Heir to the Empire and other parts of that trilogy she already doesn't have it (I don't think Karrde would trust anyone with a lightsaber back when she started to work for him). Is the fate of her weapon mentioned anywhere?
I may be misremembering, but I think that was a ret-conned fix, done via an article in Star Wars Gamer; I believe she lost it during a duel with Lumiya.
Under the alias Merellis, she was a Come-Up Flector for a Caprioril swoop gang. It was during that occupation that she lost the violet-colored lightsaber she had been given by Palpatine in an encounter with Lumiya. Lumiya, sent by Ysanne Isard, found her and tried to bring her back to Isard, but Jade refused. The two dueled and Jade escaped, though she lost her lightsaber in the process.
Per the attributions on Wookieepedia, more info may be in Jedi vs. Sith: The Essential Guide to the Force.