I use mayo frequently when smoking meats that are low on fat and tend to dry out (poultry, pork loin, etc).
First, mayo is basically oil and all oil is essentially fat. If I recall correctly, commercially produced mayo must contain at least 65% oil. Homemade mayo is substantially higher than that. Recipe that use often calls for 1 cup oil + 2 egg yolks + 1 tsp dijon + salt/pepper to taste. Run it through a food processor or blender and you've got instant mayo.
Second, mayo adheres better and longer, and is easier to use than straight oil. If I'm using a rub, I just mix the amount I want in a cup of mayo and paint it on with a kitchen brush.