I have seen models with one hand bloody, but this is what wikipedia says:
\"In the Warhammer 40,000 universe, Khaine is a god of the Eldar associated with battle, war and conflict. Many scholars believe him to be a manifestation of the Eldar\'s racial passion as manifested in battle and warfare. \"Kaela Mensha\" is not technically part of Khaine\'s name, but is a title he bears. It roughly translated to \"bloody-handed\", a reference to the blood which eternally drips from his hands as a reminder of his murder of the ancient Eldar hero, Eldanesh.
Khaine is one of the two surviving gods of the Eldar. In the old pantheon, he was second only to Asuryan himself in power, and was often shown as the enemy of Vaul. He is also the most violent and reckless of the gods. Asuryan was so appalled by his murder of Eldanesh, a mortal, that he cursed Khaine and made his hands drip eternally with the blood of Eldanesh so that everyone would remember what he had done.\"