I thought about it as well. tiiBBZ offered a max-profit way. I'll go with the truth, since plenty of coins later.
I think it's far more likely that Saadia is the liar here rather than the Alik'r, for the following reasons:
1. The reason offered by Saadia for her need to hide was that she outspoke against the Aldemeri Dominion. But Hammerfell (homeland of the redguards) has been in war with the Aldemeri Dominion for years, there are surely someone who speaks against the other over there. Saadia only needs to run to any unfallen redguard city if she was truly speaking against the Dominion. Her escape to Skyrim however may indicate something else.
2. Also, if her excuse was true, it should be the thalmors instead of the redguards that want her life. I think most redguards would actually praise her for her outspokenness if her words were true.
3. If you loot (or steal, if your pickpocket is high) Kematu, you'd find that he was wearing Hammerfell official uniforms. They may be indeed legit investigators. I've so far found nothing to prove Saadia's identity. The fact that Kematu and his men live inside a bandit's cave was because Whiterun doesn't allow them into the city. Sneaking and eardropping on the bandits will show that Kematu paid for the residence place. He himself is no bandit.
4. When turned Saadia over to Kematu, he said to her something like "Not everyone can be seduced by you..." indicating that Saadia might have used others to cover her track before. It does not directly prove her to be guilty but from someone who seduces multiple times to send people to death.... her credit is in doubt.
5. When travel farther, you will see that there are Alik'r warriors all over Skyrim looking for Saadia. They apologize to those they mistakenly thought as her. It looks more like an organized searching project rather than some assassinations or bandits' moves.
Of course these reasons are debatable, but combining all of them I'd say that Saadia is far more likely to be the liar here.
