Nik_Del:
My question now is: The Bluetooth modules are communicating with each other with a certain baud rate (in my case 115200) and also the Arduinos are using a baud rate for the Serial Interface (in this case 115200 as well).
No they aren't. The Bluetooth modules are communicating with each other using bluetooth protocol. The Arduinos are communicating with their respective blueteeth at 115200, and the only rule of thumb is that each Arduino must match the baud rate of the Bluetooth to which it is connected. The baud rates of Arduino and Bluetooth at the other end is immaterial
Exactly what you are doing is not clear, particularly in the absence of code, but your likely problems may be summarised as:
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Using software serial at rates over 38400 is a recipe for disaster.
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Even when using hardware serial, I understand the 3.3v Pro Mini struggles at 115200. I assume this is because it runs at 8MHz.
Clearly, this is just an intellectual exercise, but I have no idea whether you really need to use 115200 to transmit your data. You may get by with less.