I'm not against a traveling caravan, but it seems a little bland. Don't get me wrong, the concept works on a number of levels, different people coming together, adventure on the open road, access to cities and towns, etc. I'd just like to see some/all of us be more than passengers, guards, what-have-you on this "stage coach". ie a hidden agenda. Like raiders traveling with the caravan with plans to attack from within when the ambush happens or some working for dragonking while others oppose them yet something happens that forces them all to work together for the survival, etc.
How about we're a cult? Dedicated to preserving the memory and relics of gods that have long since abandoned the world? Or perhaps the Gods never existed at all, and we're so desperate to believe in something, anything, that we don't look to hard at the lie. (there wouldn't be any practical benefits to worship, we'd just believe) Either way, we have to move from place to place so the Sorcerer Kings don't suspect anything.
I don't know if that works in Dark Sun, or if it fits with the type of game the DM wants to run. Thoughts?