Because they all came to Azeroth, but I don't remember anyone ever sitting them down telling them "hey, you're not just traveling to a different world, you're traveling to a different timeline". The leader of the Mag'har is the daughter of Durotan in that timeline, so it's either some sort of alternate timeline Thrall, or genetically a sister of Thrall's. Do they know Outland is a shattered version of their homeworld?