Yes, Mahmud identified Pecheneg as a Turkic language, but he or no one else gives enough information about the language that it can be classified as part of one group of Turkic languages or another. And when it comes to legends of Oghuz the dragon slayer, I wouldn't put too much value to those legends (which were written down centures after the alleged events). In legends he is father of all Turkic peoples. While sometimes legendary family trees of the nations are based on reality, sometimes those are fictional (like ties between Normans and Welsh, because both Danes and Britons are descendants of the Trojans). My point was that we don't really know enough about Pechenegs to say anything sure about their ethnicity and language.
