Saxon uses the underlying regex engine in Java so I wouldn't expect it to make much difference. There is an overhead, because the XPath regex dialect isn't quite the same as the Java dialect and some constructs have to be translated, but that's usually a one-off cost at compile time. There is also an overhead in making calls from XSLT to Java, which can sometimes exceed the cost of actually doing the work.
As always with performance questions, the only way to find out is to measure it. Do remember that to get repeatable results from Java performance measurements you need to run the VM for at least a minute.
Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference