I am currently playing a Saka campaign and when I started I was confused on the steps to build an allied government, if this is your case here is how it is done. When you conquer a province the building you will construct first is the "indiginous settlement"(I think that is the name), second build the "allied government" building, if that is not available construct the "migration" building. If you have to build the migration building you will then have to chose between pastoralism or nomadism. From there you can construct any building of your choosing.

This was really confusing to me when I started and this might be helpful to you.