I think there are only two trainers for pickpocketing and neither are Khajiit. If memory serves, both are Nords too. But yeah, they do sell skooma. Lotsa skooma! And Divines Bless Them for it too!
Whenever you look at the most discriminated minority of any nation, they will always be the thieves, thugs, and dealers. They didn't choose the thief life, the thief life chose them.
Moonsugar did, it was the Dunmer who created Skooma i believe.
It's the freaking elves every time! Moonsugar to the Khajiit is mead to the Nords, something harmless. Then you get elves who turn it into something bad and pin it on the Khajiit.