The relevant series are: Song of the Lionness (Alanna, Hand of the Goddess, Woman who Rides like a Man, Lionness Rampant), Immortals (Wild Magic, Wolf Speaker, Emperor Mage, and Realm of the Immortals), Protector of the Small (First Test, Page, Squire, Lady Knight), Daughter of the Lionness (Trickster's Choice, Trickster's Queen).
I think those cover them all.
However, all the characters generally appear in more than one book. Like Alanna appears in all of the other series at least once. You don't need to read Beka Cooper, as her era (sadly) won't be covered. Song of the Lioness and Immortals are pretty small paperbacks, but the last two in Protector of the Small and both of the Daughter of the Lionness books are pretty big.