They're no hairier than large African felines. Also, I'd like to see you survive one night in the Saharan desert wearing nothing but swimming trunks and a t-shirt.
Strangely enough the ones you do meet in skyrim complain about it being too cold for most khajiit.
Elder Scrolls physics and laws do not apply to Earth laws, always remember that.
Well, having fur doesn't mean that they would be hot, rather it protects them from the cold desert nights.
JUST SAYING... of course. I just prefer to believe that Elsweyr is mostly jungles and only a little bit deserty.... not that jungles are much better, really.
Argonians are descendants of a species of ancient trees, not lizards.