http://en.uesp.net/wiki/Lore:Khajiit#Khajiiti_Pantheon

Here is the section on the common Khajiit pantheon. I would say Azura is one of the highest regarded figures in their view, being s/he is attributed with how they basically came to be in the forms they exist in.

But if you are wanting to be a paladin type, which at face value I am assuming you want to be sort of a sword and shield type, heavy armor do gooder who probably uses restoration to help in his journey, then you could always put an emphasis on Mara. Mara is a heavily regarded figure in the Aedra as a force of love.

Another idea might be for you to worship the lunar lattice as well, specifially the functions of Jode and Jone the two moon gods respectively. Putting that into practice might be difficult, but I could imagine some sort of Lunar Forge mod in which you do good mostly at night to appease the moon gods in some way and to act in your paladin ways when bandits and other evil things would most likely want to come out (night time).

Henson said it all I think! Just thought I'd mention if you don't know there are sub-species of Khajiit, which is a result of when they were born in the lunar cycle, so deciding what sub-species your character is could add some nice depth to the playthrough. You can find a list of them by scrolling down on the link Henson kindly posted.

Next time though mate can you post questions like this to The Role Play Help Thread, as that's where stuff like this belongs. Welcome to the Vault, Hosk, hope to see you around RP again!