It may be that Georgia and Khazar are where they are most likely to turn up if you build Inns there. I know in the original MTW, Almughavars were very rare, and most commonly turned up in Inns built in Aragon. I'm not sure this is still the case with VI.

The Byzantine, Golden Horde, Russian and Turkish factions can use Alan Mercenary Cavalry in VI multiplayer (and in a SP Custom Battle, I'm pretty sure), so that may be to what the Unit Master tool is referring.