Having a Thalmor option wouldn't need a Thalmor victory. They could have designed quests where you help the Thalmor, more an 'in the shadows' doing tasks that help them. Hunting down prominent people with Talos worship sympathies and making them disappear, hunting out artifacts to stop the Empire getting their hands on them, sabotaging Empire plans to make sure they don't win the war and keep getting ground down. A small questline with tagged on radiant quests similar to DB or thieves guild ones could have given people the opportunity to go down that path if they wish and still do the MQ and other quests. You'd be an agent working for them undercover, so your race wouldn't matter. They had a good opportunity in the existing story with the Thalmor not out to conquer (yet) but to consolidate their position by covertly undermining the Empire. It could have been a lot of fun having something like that in the game. Bethesda should learn that a lot of players want to play the bad guys sometimes.
(yeah I know the DB and thieves guild aren't good guys, but they tried to make them seem not that bad and they're standards they have to include - not the people they're pitching as big baddies in the game)