Can we weld on aluminized or stainless tubing?

Yes. I always sand the aluminizing off at the joint, weld and coat with paint. The seam on rolled tubing usually rusts too, aluminized or not. I just paint everything with black BBQ paint.

Stainless is another story. It really needs to be TIG welded and backpurged or you'll contaminate it with the carbon in mild steel from MIG wire or from the adjoining metal, if it's not stainelss also. If you weld stainless without backpurging, it will make black crusty nasties (google stainless sugaring) inside the pipe which will weaken the weld and cause corrosion. This is because the backside of the weld will draw in carbon from the air (carbon dioxide). I don't backpurge but I do use Solar Flux on the back. Works great for me.