This is actually a feature request. CEGUI should allow developers to substitute all allocation with their custom allocators. I am currently developing this. It is being implemented in the "CEGUI" way - developers have to implement their allocators, CEGUI only allows them to plug it in... Shipping nedmalloc allocators is being considered though.
More info about this on the forum: http://www.cegui.org.uk/phpBB2/viewtopic.php?f=5&t=5173&start=15