So I've spent days on this, and I know others are frusturated as well. But i think i finally found out the easiest way to make a live USB of Kali thats Mac compatible. Give it a try and tell me if anything goes wrong and ill definetley look into it.
So, here we go;
Prerequisites:
a Linux LiveCD
Mac OS X
rEFIt or rEFInd
These files: http://bit.ly/1g13CKy
1) Erase the entire USB and use the DD command to write the ISO to the disk. On a LiveCD its: dd if=kali.iso of=/dev/sdb bs=512k on mac it should be: dd if=kali.iso of=/dev/disk1 bs=512k
2) Boot up any livecd that has GParted (that includes Kali)
3) Create a 20 MB FAT32 partiton and name it EFI
(Create another partition if you want persistence)
4) Download the files above and copy them onto the EFI partion so it has the structure: /EFI/BOOT/* (the * indicated where all the grub files should be)
5) Reboot (it might take 2-3 times for it to show up in rEFIt/rEFInd and select BOOTX64.EFI
You may need to edit which disk/partition you boot from by booting the grub menu in step 5, then pressing E to edit it from (hd0,1) to whatever it may be. (but it should be (hd0,1))