First of all the Dothraki came from far east to where they are now almost 400 years ago. Nothing is known about them before this event.
How do the Dothraki make their weapons?
What material do they use? Do their razor sharp arakhs require superior quality steels?
Where do they find such steels and which smiths make their weapons?
Is it possible that the mother of mountains have rich iron mines suitable for making high quality weapons?
As a side note, I want to emphasize on the Ergenekon legend which is a (Mongol or Turkic) rebirth myth. In this legend, they suffer a great defeat and some younglings escape their enemise in guidance of a she-wolf. They come to a Vale hidden high in the mountains through a secret passage. They live there and reproduce for 400 years until the Vale cannot feed their great numbers. They cannot find the hidden passage their ancestors knew. A blacksmith offers to melt down rock to open a passage. They get out and claim their original lands by defeating their enemies.
The Turks were known to be great blacksmiths in Central Asia. The possible candidates for this legend managed to create a large empire which looks like Dothraki sea.