And no, he won't be the Dragonborn or any kind of hero.

Choose to be a Khajiit agent, he has all the skills of an Assassina and a Thief but join the Theives guild and fight for the Empire.

Read this if you haven't:
http://www.uesp.net/wiki/Lore:Khajiit

And maybe buy some Moon Sugar.

Lay down in front of a fire somewhere and lick yourself.. if anyone asks just say you're 'washing'.

Elsweyr is allied with the Aldmeri Dominion, it would make more sense to work against the empire (though the Thalmor's goal is to make the civil war continue as long as possible).

Define 'allied'

Allied as in "working with". The Khajiit have a grudge against the Empire, and Leyawin in particular. Even in Oblivion they were talking about land Leyawin took and constant border skirmishes.

I'm starting the same type of character, I'm going slightly different morals.
Such as trying to use the Khajiit vendors as much as possible, not talking to
people who look down on my Khajiit. I'm going to be an assassin with the
dark brotherhood too.

Elsweyr like Aldmeri Dominion more than the Empire, but the game doesn't say whether they're "allied" or not. Elsweyr kinda thinks of Aldmeri Dominion as their savior for the whole Masser hide-and-seek problem, but they don't join the Dominion when they wage the Great War

Btw, RP that you want a soulmate from different race, or at least your soul mate does not have to be with you all the time.