Firstly, do you have Supernatural expansion installed? Sorry it seems like an overly simple question, but some people really don't know how it all works.
If you do...
1. Moonlight Falls is full of all supernatural beings including werewolves and zombies.
2. As for getting an alien in the game, a UFO abduction is a random event. Some people see them a lot, as for me, I've been playing for years and years and have only been abducted once and that was just last week. You can "make" an alien in create-a-sim by making a human with green or blue skin tone. I don't think the aliens have special abilities like the other supernatural beings.
3. If you're playing a city other than Moonlight Falls and want to add supernatural beings, you can do it several ways:
A) You can make a bunch of supernatural beings and just add them to the houses around town.
B) You can make a supernatural male and have him knock up as many females in the town as you can squeeze into his schedule.
C) You can have your sims create the appropriate elixers with the Alchemy station and toss them at random sims around town to change them into the corresponding natural being.
D) You can install Twallan's Master Controller mod (I believe his Overwatch mod does it as well) and use them to alter the various sims around town. I do not recommend this action if you're not familiar with modding.
