Well, yes, but neither used a weapon that is purely dust based...look at it like this. 

It is a good bet that Remnant does not have gunpowder, and uses fire dust as an alternative. Hence why their bullets can be referred to as Dust rounds. Now imagine a sword made purely out of it; chances are it will blow up in your face after one clash causes one to many sparks. 

Furthermore dust is a consumable resource, a sword made out of dust will eat itself in order to produce a desired effect…hence why both Weiss and Blake utilize steel like weapons with dust compartments, and not blades made out of dust.