SPSiteDataQuery does not support multiple value look up columns. However, one can filter the results using SPsiteDataQuery on look up column.
In order to get the values of look up column use SPQuery to iterate through each and every lists which you can get through the SPSiteDataQuery.
In my approach I got the list ids of various lists in my sites and sub-sites using SPSiteDataQuery and using those list ids I fetched the list and the corresponding values for the look-up column using SPQuery.
Cheers Chitranshi | SharePoint Consultant| Mindfire Solutions