Probably in cities that are close to the Elsweyr border.
There are quite a few in Leyawiin.
Leyawiin in Cyrodiil.
it was originally a Khajiit City is Elsweyr, but was given to Cyrodiil as the result of an agreement between the Mane and the Empire
http://uesp.net/wiki/Lore:Leyawiin
Valenwood may have a few Khajiit heavy cities, but not many (Relations between the Khajiit and Bosmer aren't that great).
as for Hammerfell and Highrock, likely similar presence to what we see in Skyrim.
as stated, the City with the largest Khajiit presence outside Elsweyr is likely Leyawiin