If you're relatively new to the game I highly recommend picking a Race that compliments the type of Class you want.
Unless you're a seasoned Morrowind player, you might struggle with a mage/warrior Khajiit.
You might be better off with a Dunmer. They have nice bonuses in both magic and combat skills.
That said, Morrowind is also great for customization. So a combat Khajiit might look like this:
Favourites: Strength and Agility
Birthsign: The Lady
Major:
Light Armor
Long Blade
Armorer
Block
Short Blade
Minor:
Spear (or Axe)
Med Armor --- As others have pointed out,
Unarmored here would be better. But Med Armor will help you increase Endurance. It's up to you.
Security
2 more of whatever might interest you. Sneak, Enchant, or Alchemy.
For a magic orientated Khajiit try the in-game Nightblade Class.
Also, Stealth is great in Morrowind. It's my favourite aspect of the game. I guess the people who struggle with it are the ones who don't know how to use it.