I know that being exalted with Proudmoore Admiralty, will get me exalted to Zandalari once faction changing. The thing is, will I be able to immideate change my race to Zandalari troll, as alliance? Or will I first have to pick one of the original horde races, and then pay for one more race change, to turn into zandalari?
No, you still have to meet the other requirements here: https://www.wowhead.com/zandalari-troll-allied-race and then unlock it at the Embassy. After that, you can create a character or faction/race change an existing one into Zandalari.