Saadia because I didnt even know who the thalmar were... She seemed harmless enough anyways, not like she could go back to hammerfell.
Except that most evidence points to her being the guilty party:
Saadia telling the truth
1. The first time the Alik'r came to Whiterun, one of them was thrown in jail. This immediately casts doubt on their lawfulness - but then, it could be a case of overzealous or corrupt guards (they certainly seem mean and lazy, judging by the jailer's fecklessness about letting the guy go when you pay his bail).
2. The Alik'r are sharing a cave with some bandits who are ostensibly getting paid to guard them. Does their choice of guards cast suspicion on their nature? Having said that, from dialogue between the bandits, it seems that they do not trust each other and keep separate anyway. It could just be that the bandits were cheap.
Kematu telling the truth
1. The first time you talk to Saadia, she pulls a knife on you. While this may seem like an act of desperate defiance, it may hint at a violent and unpredictable personality.
2. Saadia seems hesitant to explain the full situation, while Kematu elaborates on it fully. Is Saadia's reticence due to her guilt?
3. The man you can free from jail seems strangely honourable, saying he has shamed his companions and wants to begin anew.
4. If Kematu really was an assassin, why paralyse her at the end of the quest - why not just stab her and be done with it? He also mentions justice, and taking her into custody, and implies that Saadia will face a trial back in Hammerfell rather than swift execution. All this points to him and his warriors being enforcers rather than assassins.
5. Kematu's opening line - "We can avoid any more bloodshed." And his closing lines which infer that Saadia is known for her manipulation of people.
All this points to Saadia being guilty, meaning she is an informant. This means she can give information to the Thalmor AKA Nazi Elves who can use that information to harm the Empire/Skyrim. Who knows what information she can get if an important official gets a little too drunk.