The Khajit fully support the Thalmor and the Second Aldmeri Dominion, therefore due to the White-Gold Concordat, they would then support the Imperials and the Empire by de facto. This is all according to lore, so therefore if you were to follow the lore and be a supporter of your own people and the current two ruling kingdoms of Elsweyr, which are client states of the AD you would also do the same.
Of course, if you RP to rebel against the two kingdoms and the current political state of Elsweyr, for whatever reason, you join the Stormcloaks.
My next char will be a Khajit and will be joining the Imperials.
plus khajiit homeland is Thalmor territory now and for Thalmor the empire is more logical choice (Since they can boss them around, can't do that with nords).
Just a note, they are not Thalmor territory as they are ruled by their own governing bodies. They are part of the Second Aldmeri Dominion though. Remember, the Second Aldmeri Dominion is the actual nation, the Thalmor are the governing body of the Summerset Isles and Valenwood. They happen to be at the top of the ruling body of the entire thing though. Just as Cyrodil is still ruled by it's Emporer, but he is no longer the highest authoratative figure in the land because he bows to the SAD too.