To properly align an object with the player's holding bones, we need to ensure that there is a precedent set for the rotation/orientation of objects.
Ideally, held objects should be upright, like in the attached images. This isn't mandatory, since you can set the position manually in Unity, but this is the preferred way to position things.
This makes it way easier to preview the holding animations within Blender.
You can test out hold positions by adding rotation and location constraints to the desired object, then selecting the armature, then the right hold bone.