Possible spoilers in here for anybody who hasn't done the "in my time of need" quest in Whiterun.

I'm on my millionth (or so) playthrough of the game and after doing this quest many times, I still feel bad when I've done it. Either Saadia betrayed a Redguard city to the hated Dominion, which means she's the bad guy, or some ruthless rich person has a vendetta against her and has hired Kematu to bring her back, meaning Kematu is the bad guy. Since there's no way of finding out what really went on in this storyline I've decided that I'm going to kill them both. Here's how I'll do it (and I know it's possible because I did it but didn't save the game).

Talk to Saadia and offer to help her, find Kematu, agree to help him catch Saadia. Lead Saadia to stables, get reward from Kematu. Kill Kematu, kill Saadia when she wakes up (she's automatically hostile to you at this point so it's not murder).

Does anybody know if this affects the rest of the game in any way?

sadly Consequences arent bethesdas hot button it doesn't matter what you do. just keep on truckin.

No, but at least there are several quests that have moral gray areas.

And, there is a right answer of sorts, if you know the Lore of the war between the Aldmeri Dominion and Hammerfell.

Except for the fact Saadia's remains end up in Whiterun's Halls of the Dead, and Kematu doesn't deny being a mercenary.