Excellent question...
I've traced down a Washington Post article from 9/21/2001 entitled "Focus Continues on Two New Jersey Men." It states that Khan and Azmath (who was arrested with Khan) gave a number of addresses; in particular, it says, "Khan also listed an address on West Hollywood Avenue in Chicago...." Click on the link to read the entire article.
Recall that Khan and Azmath were on board a plane to San Antonio on 9/11 when all planes were grounded. Their plane landed in St. Louis, and they took a train from there to San Antonio. They were then arrested with box cutters, $5000 in cash, and hair dye. They are from Hyderabad, India, and were in the U.S.A. on false passports. Khan's real name is said to be Gul Mohammed Shah.
Sabash Gurung is the Nepalese just arrested at O'Hare Airport with a stash of weapons (knives, a stun gun, etc.). Gurung lives with his brother Sushil at 1025 W. Hollywood Ave. in Chicago. A person by the name of Ayub Khan also lives at that address (see the Chicago phone book), but the FBI suggested that this wasn't the same Ayub Khan who had been arrested and that there was no evidence linking Gurung to terrorist activities. The fact that an article from 9/21, long before Gurung was in the news, says that Khan listed a West Hollywood Ave., Chicago, address strongly suggests that the two Ayub Khans are, in fact, the same person. (I'd like to track down a source with the full Chicago street address Khan gave when he was arrested.)
One further point connecting these three: unlike the cell(s) of mostly Saudi Arabians who committed the 9/11 massacres, these three are all from the Indian subcontinent (2 from India and 1 from Nepal). (In spite of being from India, I would assume that Khan is Moslem, since his real middle name is Mohammed. I don't know that the other two are Moslem.)