A few things I want to point out about the "Mist Dragon's Attack might be holy elemental!"
A. There's no reason to assume Mist Dragon's attack is Holy Elemental. Its called "Cold Breath" in some translation or another, and FF4 Enemy physicals are always Non Elemental anyway. The animation further supports this, as it looks similar to the Ice spell.
B. Using the "He absorbs Holy!" as a reasoning to assume he's Holy elemental is similar flawed. Case in point, Cagnazzo, the WATER fiend, is actually *WEAK* to Ice/Water attacks when the Waves aren't rising (when the Waves are up, he's weak to Lightning; usually, Tellah or Palom gets a turn after this fact, so you never actually realize he's truly weak to Ice before then, furthermore, he tends to die really fast as his weakness is a W4 <_<)
C. Mist Dragon's summon form is Non Elemental. If anything, its animation implies, again, that its Water/Ice elemental (it has some similarities to Shiva's animation...heck, think it even uses the same sound effects.)
D. There would be no possible way to prove whether its Holy elemental anyway, as FF4 has a complete lack of Holy resistance on the PC End (or Holy weakness, for that matter.) Making an enemy attack Holy elemental, when PCs can't use it, would be utterly pointless as PCs have no special ways of dealing with Holy attacks, one way or another (now, enemies ARE weak/resistant to Holy, so things that PCs actually use is a totally different story.)
And thinking on it, Mist Dragon's attack is probably used by some mid game enemy like Basilisk or something, as an Ice attack.
In any event, its best to NOT ASSUME the Holy Elemental Breath thing, as I really can't see a good reason to assume its Holy. If nothing else "Mist Dragon absorbs Holy!" is the only basis behind this, and its a rather silly way to figure things out.