Dear Furies.
Its really really cold in Skyrim.
Desert Cats would not exactly want to live there.
I live in North Dakota, and grew up around very outdoor cats.
Household cats are descendants of desert creatures (their internal body temperature is something like 101 degrees F normally) -- but they do just fine in the -40 degrees winter weather we get up here.
Creatures are surprisingly adaptable.
But yes, it makes sense there aren't many khajiit in Skyrim. That doesn't bother me really. I was thrilled when I saw the first Khajiit caravan.