The goblin death knights are a little less complicated as far as backstory goes. Here's the quest text from A Special Surprise, goblin edition:
Goblins are everywhere. They've been around in Azeroth wheeling and dealing for the best prices ever since vanilla. I'll be going into the history of Kezan and the goblins of the Bilgewater Cartel in detail in a future Know Your Lore, but for now, here's what goblin death knights need to know.
Goblins are, at heart, all about commerce and the exchange of goods. Goblins are generally separated into different "cartels"; a Trade Prince leads each cartel, and all the Trade Princes live in Undermine. Undermine is a vast underground city located beneath the island of Kezan.
Undermine is pretty much the center of goblin civilization. Not only do the Trade Princes of the various cartels make their homes there, but goblin alchemists and engineers continually practice their craft and develop new (and undoubtedly explosive) technology. According to various RPG source guides, there are five Trade Princes that lead the various cartels, but this number shouldn't be considered set in stone. The most successful cartel out of all is the Steamwheedle Cartel, who have struck deals with both Alliance and Horde and built successful ports all over Azeroth. The whereabouts of Steamwheedle's Trade Prince is unknown, but if goblin records are correct, he's in Undermine with all the other Trade Princes.
Many of the other goblins live above ground on Kezan proper, where they mine a strange glowing mineral called kaja'mite. This mineral is the source of the goblin's intelligence, and they brew it into a drink called Kaja'Cola, which is used to give goblins ideas. Much like the worgen death knight, the goblin death knight that is created was traveling with a friend when he or she was attacked by Scourge.
That goblin death knight you chose on the character creation screen wasn't a slave to anything in particular; he or she was simply working on the island of Kezan, where your friend picked up some sort of addiction to Kaja'Cola. In order to help him, you decided to leave behind the source of the problem -- mainly Kezan and the kaja'mite mines -- and head north to join the incredibly successful Steamwheedle Cartel. Problems continued to plague you up north, and you and your friend were attacked by Scourge. You were killed, but your friend decided to join the Argent Dawn and fight against the Scourge, because that's what he figured you would've done if you had had the chance.
As a goblin death knight, you were not there when the island of Kezan was destroyed; you'd left that island years before the events that play out in Cataclysm. When you are freed from the Lich King's control, the other neutral goblins are likely to want nothing to do with you -- think about it, a corpse isn't really an effective sales associate, and nobody is likely to openly trust a death knight no matter how hard he protests that he's broken free. So instead, you choose to join the Horde at Highlord Mograine's behest.
Here's where it gets incredibly shaky -- as a worgen, you are sent to Varian Wrynn to gain acceptance into the Alliance, and as a goblin, you are sent not to Warchief Thrall (who has now gone to the Maelstrom) but to Garrosh, who is leading the Horde in his stead. You'll enter the new Orgrimmar, which was built after the Lich King had already been defeated, or Stormwind, traveling past the statues and towers that Deathwing wrecked when he burst into Azeroth.
So in the timeline, you're jumping from the beginning of Wrath of the Lich King into Cataclysm, and then back into The Burning Crusade, then back to Wrath of the Lich King. Confusing, yes -- but the only way this could be addressed by Blizzard would be by a quest overhaul that would revamp all of Outland and update Northrend to address the Lich King's defeat. Frankly, I'd rather continue moving forward with new content than moving backward to fix stuff, so I'm willing to overlook the time discrepancy for now.
The other shaky supposition is that the goblin or worgen you killed during A Special Surprise was a member of the Argent Dawn. Goblins are a little easier to explain in this case -- the Argent Dawn needs supplies, of course, and who better to negotiate than a goblin? It wouldn't be entirely out of place to see one wearing an Argent Dawn tabard. The worgen, on the other hand ... People would definitely notice if a worgen suddenly appeared wearing the Argent Dawn's colors.
That may be why you've never seen a worgen wearing the colors of the Argent Dawn -- because the Argent Dawn knew that at that point in time, it was ridiculous to assume that widespread acceptance of worgen would be OK, especially given the previous activities of the worgen race. Alternatively, the friend that the worgen death knight is forced to kill was simply a prisoner of the Argent Dawn, being held while they figured out exactly what to do with him. Given that the rest of the Alliance and Horde were distracted by the whole war with the Lich King, they may have simply been waiting until the moment was right to mention their unusual "prisoner" to the appropriate Alliance or Horde leader.
Despite the time discrepancies at the end of the phased death knight starting experience, the actual creation of a goblin or worgen death knight is well grounded in existing lore and shouldn't cause players concern as to where their characters "fit" into present day. While level 1 goblins and worgen will be playing through current-day Azeroth, Cataclysm and all, the goblins and worgen raised as death knights have been there all along -- we simply haven't seen them yet. It requires a little suspension of disbelief as far as timelines are concerned, but then, death knights have been doing just that since the launch of Wrath of the Lich King, when they join the forces of the Lich King and then abruptly leave it to go fight the forces of the Burning Legion that have, from a timeline standpoint, already been dealt with.
While it would be nice to see Blizzard address this issue in detail, players tend to forget exactly how much would have to be changed in order to make everything fit together again. If Blizzard altered Outland so that it reflected the defeat of Illidan, Kael'Thas, Vashj and others, there wouldn't be any content to play through. There wouldn't be any instances to run. There'd be no point in going to Outland at all -- and despite the fact that it's outdated content, Outland is still fun. So feel free to roll your worgen and goblin death knights knowing where they "fit" in the Warcraft universe -- but keep in mind you're going to have to continue taking Warcraft timelines with a grain of salt.
For more information on related subjects, please look at these other Know Your Lore entries:
- Highlord Darion Mograine
- The Lich King
- Current Alliance Politics: The humans
- Death Knights
- The Third War
- The Tinfoil Hat worgen edition
While you don't need to have played the previous Warcraft games to enjoy World of Warcraft, a little history goes a long way toward making the game a lot more fun. Dig into even more of the lore and history behind the World of Warcraft in WoW Insider's Guide to Warcraft Lore.