I took it to refer to Sion himself, as well as Nihilus.
When you first fight Sion on Korriban, he makes the following statement (I don't recall the exact quotation, but here is the approximation):
"I will kill you to spare you what she will do to you", "she" meaning Kreia.
When I played the game through my first time, I was DS, so I went to Korriban as soon as I could travel off of Telos. This made me understand pretty early in the game that Kreia was trying to screw me over somehow. Especially when a supposedly evil Sith Lord told me that I would be better off mercifully killed by him than have to deal with the creepy woman back on my ship. Perhaps I am not up to date on my Sith doctrine, but I am fairly certain "mercy" is not part of the deal.
So when I combined that statement with the "you will perish like the one before you", I decided that Sion is talking about his own failure.
After all, Sion and Nihilus ultimately failed to escape from fulfilling Kreia's plan. When they struck her down, they thought they were free of her and could now go on and be prosperous, tyrannical Sith Lords in their own right.
However, Nihilus just got hungrier and more desperate, and in the end, Kreia tricked him into attacking Telos, which resulted in him being weak enough to be easily trounced.
Sion also thought he could do his own thing - until Kreia came back, beat him into submission for betraying her, and forced him to do her bidding - again. That makes him believe still that you, the Exile, would be better off killed by him than have to face Kreia, because you cannot escape her plan either, and are thus doomed to fail just like he did.