Maybe a few new Lanun-specific buildings for coastal cities, placed along the sea-exploration or economy tech-lines, would improve them further and increase their mastery of the ocean. If we're weighting them towards the coasts, building coastal cities should bestow a great deal of advantage. Then, to balance giving the Lanun much greater strength in their coastal cities, they could also be further limited in what they can build inland.
A few suggestions regarding buildings:
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Maintainance-reducing coastal building, additional to the courthouse, to help reduce the penalties they get for spreading out along the coasts. Maybe something like a Pirates' Hideout, reflecting the rugged independenceand decentralised nature of pirates, that reduces maintainance another 20-30% additional to courthouses.
Or, alternatively, such a building could replace the courthouse completely (what use have pirates for landlubber laws?) completely, be coast-specific, and reduce maintainance by 60% or so, meaning that you can never reduce maintainance for interior cities but can sprawl further along the coasts with less penalties.
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Coastal food-storage building, a Wharf or Fishyard or something, functioning like a smokehouse/granary but giving health from seafood. This would help their coastal cities to grow faster, something like the Calabim's Breeding Pit, thus giving them more synergy with OO and slavery.
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Coastal commerce building, maybe a Port, giving +25% commerce like the Money Changer, or increased trade routes, or both. Or this could instead be a replacement for the Money Changer which gives bigger boosts but can only be built along the coasts.
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Trade building (East Eberus Trading Company!!!) giving increased trade routes or +1

from Pearls/Fur/Wines, or both. Alternatively, versions of the Inn and Tavern which give additional trade-route benefits when built in coastal cities (is it possible to set a building so it gives +1 normal trade route AND another +1 if it is on the coast?) or Inns and Taverns which are better than regular but can only be built in coastal cities.
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Unique replacement for the shipyard with either an increased ship production boost or a secondary forge-type boost to general hammers in the city, or both.
If some of these are a bit unbalanced, they could replace a regular building instead (for example, replacing the Smokehouse with a coastal-only building which gives health from seafood AND livestock).
Alternatively, some of the regular buildings could perhaps, in addition to their primary function, provide secondary benefits to navy units... their archery range could give a Drill Promotion to boats, Forges could give a strength boost, Training Yards could give them increased XP, for example. Maybe a later-game building could even give the Boarding promotion.
The new sea monsters offer some interesting possibilities as well... perhaps the Lanun could get a unique boat capable of enslaving them.
On the plus side, the Lanun do have War Tortoises now! A 10/18 water-walking unit is pretty cool, it's just a pity that the cavalry techs you have to go through are so far off their best tech lines and horsemen aren't exactly keeping in flavour with a bunch of Cthulu-worshipping pirates. To fix this, either they could be moved to another tech, or some more of the Lanun cavalry line could be rendered more flavourful and amphibious.
I can't think what tech war tortoises could be moved to, though, since the sea-exploration tech line ends at Astronomy (I think), which costs about a tenth of Domesticate Elephants and the other handful of similarly expensive techs don't fit any better. I suppose there could be a couple of additional techs requiring Astronomy and Seafaring? That'd also offer some other possibilities, too.
If not following this path, though, to further reward players for pursuing the cavalry line, perhaps the Lanun could get some more flavourful unique unit to replace the Camel, since it's on the path to War Tortoises. A domesticated sea serpent or something? OR A LAND SHARK.