Evidently you are not familiar with the old axiom "keep your friends close and your enemies closer." =P
It may seem counterintuitive for the Lazax to ally with Sol, and surely such an alliance would be fraught with mistrust, thematically, but there are still reasons why it might happen. Sol might offer Lazax the chance to surrender. Lazax might accept in an effort to retain at least some measure of their former glory (or as a stalling tactic while they look for a way to turn the tables.)
In Dune, forming an alliance with someone didn't always mean you liked them, it just meant you needed something from them. In Rex there's even less reason to trust your allies if you play with the optional Betrayal cards. You can make a house rule against it if you want, but in my opinion there's absolutely no reason to do so, either mechanically or thematically.