I'm playing a Pahlava campaign for the first time too and its great. Anyway, I think the problem you're having is because a settlement must be city sized to build a large nomad market.

The building guide here: https://www.europabarbarorum.com/web...hlava_v0.6.pdf says it must be a large town, and so this confused me too. But when I looked closer, the guide is screwed up. The smallest settlement size on the guide is village, and town is the next higher up. However, in the game, there are no villages; towns are the smallest settlement size. So you have to make everything in the guide on settlement size bigger (notice that there is no huge city on the guide, but I've built a few so far in my campaign). Thus, you need a city to get all the buildings for the Parthian reforms.