You probably already found out that widget factory instructions/“recipe” isn’t inherited by CJuiWidget descendants. I started thinking about an extended CWidgetFactory::createWidget, based on this line
I don’t know if it’s worth the effort (and performance degradation), though.
BTW you may be interested in this post about a possible setup for switching jQuery UI themes together with Yii themes. (It’s a bit complicated, I know, but it seems it has to be using the support that comes with the current framework.)