You can list the lastn most recent pings to your blog:
CODE
<MTPings lastn="5">
(Something important to know about MTPings is covered in
this thread, btw.)
But that's a bit different than the last 5 entries which have received a ping - much like the differences between:
CODE
<MTEntries recently_commented_on="5">
and
CODE
<MTComments lastn="5">
I guess a "recently_pinged" attribute would be a nice feature to request.