Not specific to pfSense really, but Kali Linux does have plenty of tools built-in for scanning and testing such as OpenVAS. While not as accurate or detailed as Nessus, OpenVAS has similar functionality and is free, compared to $1500/yr for a Nessus feed subscription.
It all depends on what your budget is, which is the better fit.
The advantage of a distribution like Security Onion is that it's already put together and ready to use. Sure, you could take the same functions and build them into another Linux distro, but why reinvent the wheel? Why not just use both Security Onion and Kali in separate VMs?
Kali is designed with pen testing in mind, and its default setup/layout is geared toward that. Security Onion is designed for persistent monitoring/logging/etc. They both have their strengths, and trying to make one thing do both would probably end up with lackluster results.