Yeah, Mu is a console exclusive character...of course, whether or not she'll be playable in tournaments is up in the air at this point (although I'm learning somewhat towards a no on that).
At any rate, going from what's been seen of Nu and Lambda, I'm expecting Mu to be more of a close-range fighter. That sword on her back makes me think she might play as a weaker, but faster version of Kliff from GG (...somewhat doubtful of this really). Although we know nothing about her other then her bio, so I guess we'll have to play the waiting game until BB:CS get's released....or whenever they release more info.