I have an alien sim, who is a scientist, who has alien co-workers he interacts with regularly, and in roughly 80 sim days, he has been abducted 4 times. So that's a rate of about once every twenty days, under conditions that increase chances of abductions.
In other saves, I have some scientist sims or sims that socialize with aliens who have been abducted maybe once or twice in roughly the same length of time (so not meeting all the criteria seems to cut chances down by at least half). That would be about once in every forty to eighty sim days. I have never had a sim abducted who does not fit at least one of these conditions: scientist, alien, or socializes regularly with an alien.
I play with aging turned off. If you play on short lifespan, you might easily miss getting abducted because it happens so infrequently.
Alien abductions can happen in any world. I have had them occur in Strangerville, Windenburg, Oasis Springs, Willow Creek, Forgotten Hollow, and San Myshuno.