My only real thought here Wulf is that you could try and work in the idea of a Pious/Religious Khajiit Thief. They've got a pantheon that's focused enough on theft and trickery that it'd be entirely plausible to create a Priest of [Insert God] that plays exactly like a normal Thief but you blend in some Roleplay ideas that work more with a Priest. I mean, just off the top of my head there are some interesting things that can be done with Riddle'Thar, Baan Dar, and Rahjin, maybe even a couple others. 

Other than that...I really just don't play Khajiit enough to suggest anything. I suppose you could try the 'Clumsy Thief' and play one of the larger races (sub-races) trying to be a thief. Would require some console commands I think (but you do play on PC don't you?) and you could make it so that it's realistically quite difficult to become a Thief for the character. Raise the weight, height, maybe even set something that reduces sneak (I think there might be a disease). Of course, that'd be a bit trickier to pull of but it could make for an interesting character if you had to rely on a character that is bad at stealing but still tries.

Fair enough, a bit of a Dunmer/Altmer nut myself when it comes to characters that aren't specifically designed to be something else...that said I think I've got more Nord Builds then any other Race...

Ah, anyway, glad you liked the idea, pretty much all my Khajiit Knowledge is based on the Gods so it's the first thing I thought of :) Hope it helps out in the end Wulf