As often the case, these vendors haven't quite gotten the story right. The folks selling moringa pills and other products are selling Moringa oleifera, from India and Pakistan. The Romans and Egyptians used oil from Moringa peregrina, which is found from the Dead Sea area south on both sides of the Red Sea, around the southern Arabian Peninsula as well as in northern Somalia (but not, oddly, on Socotra).
The vendors are in venerable company, though, given that the tradition of confusing Moringa peregrina and M. oleifera in the historical literature is a long one. In Caspar Bauhin's landmark 1623 Pinax Theatri Botanici, he mentions a mysterious lignum peregrinum ("foreign wood/tree") that "turns water blue." "Foreign tree" is probably a reference to what we now call Moringa peregrina. Linnaeus in his 1753 Species Plantarum implies that lignum peregrinum and what is now known as Moringa oleifera are one and the same. Most early European references to Moringa are most likely M. peregrina because of its longstanding presence in ancient Mediterranean cultures.
Clapham and Rowley-Conwy (2007) give an interesting record of the presence of M. peregrina samples at Qasr Ibrim, once a major city in what is now Lake Nasser, Egypt. They show that traces of M. peregrina fruits are present over a period comprising as early as the 7th century BC to as late as 650 AD, a stunningly long period of documented use.
Unlike Moringa oleifera, the leaves of M. peregrina are not eaten by people, though sometimes they are fed to livestock. The tubers of young plants are eaten roasted, at least in southern Arabia (see Miller and Morris 1988). But it is the seeds of M. peregrina that are of interest. They were used, and still are used in many places, to produce a medicinal and cosmetic oil. That process is a topic for another post.
In the meantime, know that when a vendor tells you stories about the pharoahs and the emperors charged themselves with moringa energy, and that they can sell you the very same article, the pharaoahs did not have M. oleifera and you will not receive M. peregrina.
Bauhin, C. 1623. Pinax Theatri Botanici. Sumptibus & typis Ludovici Regis.
Brun, J. P. 2000. The Production of Perfumes in Antiquity: The Cases of Delos and Paestum. American Journal of Archaeology 104: 277-308.
Clapham, A. J., and P. A. Rowley-Conwy. 2007. New discoveries at Qasr Ibrim, Lower Nubia. Progress in African Archaeobotany, ed. R. Cappers, 157-164. Groningen Archaeological Studies 5.
Linnaeus, C. 1753. Species Plantarum. Laurentius Salvius.
Manniche, L. 1999. An Ancient Egyptian Herbal. British Museum Press.
Miller, A. G., and M. Morris. 1988. Plants of Dhofar. Office of the Adviser for Conservation of the Environment, Diwan of the Royal Court, Sultanate of Oman.