Egad...looking at that menu makes my stomach curdle. What is it, 60% fat? And bad, saturated fat/triglicerides at that.
I'm for the direct approach. It may be uncomfortable at first, but things should eventually settle in. Just focus on the social aspect of the dinners rather than the food. This is a tough situation, as food means so many things to people besides nourishment. Rejecting someone's food offering can be perceived as a rejection of them. Make sure that your MIL knows you enjoy the company and her efforts.
I like the suggestion to ask her to keep some fish out to the side so you can prepare it in a different way.
You say that when they noticed when you brought a healthy side dish and ate mostly that, it just seemed rude. Sounds like you thought it might seem rude to them. Maybe they didn't notice it as much?
Though the cholesterol ruse seems to be an easier way out, IMO it gives the wrong message. If you eat healthfully and exercise, why would you have a problem with cholesterol? When your dinner companions start talking about their elevated cholesterol (which they will more likely than not have if they eat like this often), you can be an example of someone who has healthy cholesterol, partly because of your eating habits.
Having the same dinner every week sounds rather boring in the first place. Could you suggest an alternative dinner, and help prepare it, or prepare it completely? Just a thought. At least if you change the "every week at the in-laws" to "every other week at the in-laws" and "every other week at our place," you can be assured of a healthy meal 1/2 of the time.