Funny you should ask this question, as I was just going over the Complete books last night to figure out the same thing.
My conclusion is that there wasn't too much in any of those books that I felt was quite right or appropriate for Mystara prestige classes. Off the top of my head, the only ones that I thought could work out were:
Mage of the Arcane Order (CArc)- with some modification, this could serve as a basis for a Brother of Rad prestige class for Glantrian mages.
Knight Protector, Purple Dragon Knight (CWar)- Could work for some elite Thyatian military orders, or the Order of the Griffon in Karameikos, perhaps.
Black Flame Zealot (CDiv)- Ylari assassins; either Magian Fire-Worshippers or perhaps assassins in the employ of Barimoor.
Church Inquisitor (CDiv)- Could be made into Holy Inquisitors of Vanya, for the Heldannic Knights.
Sacred Fist (CDiv)- The Thousand Fists of Khan clerical/mystical order of Ethengar.
Void Disciple (CDiv)- This one doesn't really have any basis in any Gazetteer material, but I thought it might be cool to have someone who taps into the Great Dimensional Vortex (from the Gold Box Immortals set).
Spymaster (CAdv)- Suitable for many sorts of spy classes, among them Darokin Diplomatic Corps agents, Blue Eels of Minrothad, Eyes of Krondar, etc.
Also, here's a list of possible Prestige Classes to be developed that I came up with some time ago, grouped by theme/region/race:
Demihuman Prestige classes
Clan Blackflame Keeper
Clan Forgekeeper
Clan Treekeeper
To reflect the relic keepers of the OD&D rules. Not sure if they should just have one "relic keeper" class (open to any of the demihuman races) or should have individual classes with differing abilities.
Hin Master
These are the druid type hin from Gaz8: The Five Shires.
Fighting Orders
Brother of the Grey Lady
Hattian Storm Soldier
Keshak Horse Warrior
Knight of the Air
Order of the Arrow
Order of the Griffon
Order of the Lance
Order of the Mace
Order of the Pike
Order of the Sands
Order of the Spell
Retebius Skyrider
Sister of the Sword
The Retebius Skyriders I'm not sure should be its own PrC- they represent hobbyists, rather than the single-minded dedication a PrC (IMO) should have; it's just there for consideration.
Similarly, not all the Ylari Orders should have PrC's, I don't think. The Order of the Spell (mounted spellcasters) definitely should, as should one or two of the others.
The Order of the Sands, of course, is a particular group of Thyatian gladiators. Not sure if they're just an organization or an actual group that practices certain techniques, etc., but it could serve as an example of such an organization.
Espionage, Inc.
Agent of the DDC
Blue Eel
Bratak
Eye of Krondar
Eye of the Serpent
All of these are, of course, the spies of Mystara. I probably wouldn't make Bratak itself a PrC- rather, I'd have some sort of specialized "schools" of Brataks/Rogues- the Gold and Silver Dragon schools of Ethengar, for example.
Arcane Prestige Classes
Alchemist
Brother of the Radiance
Cryptologist
Dracologist
Elementalist
Entropomancer
Phantasmer
Witch
The notorious "Seven Secret Crafts" of Glantri, plus the Brotherhood of Rad. I've never quite been able to come up with a way of putting all the Secret Crafts into PrCs- the abilities they have in Gaz3 are largely just too broad and don't balance well as written.
Then, of course, there are the Illusionist and Necromancer, whose presence is rather obsolete outside of OD&D (where their abilities/spells weren't available). With specialiist wizards and schools in 3E, the abilities they have are rather redundant. I've renamed them Phantasmer and Entropomancer here, to reflect my take on their abilities. The Phantasmer finds his power in manipulating/accesssing the Nightmare Material Plane and its denizens, and is a horrifying opponent (think Cthulhianic abilities and allies). The Entropomancer, on the other hand, goes beyond the Necromancers fascination with death, and actually studies the mechanism that separates death and life- Entropy itself. His powers extend over the dead and the living.
Divine Prestige Classes
Fist of Khan
Magian Fire-Worshipper
Minion of Atzanteotl
Ravenguard Berserker
I've suggested the Blackflame Zealot and Sacred Fist as PrCs for the Magians and Fists, respectively. The Minion of Atzanteotl was my idea for a "Book of Vile Darkness" type prestige class, based on the red orc priest Xilochtli from Gaz10: The Orcs of Thar. The Ravenguard Berserkers would be a group of warriors or warrior priests of Odin.
Assorted Other Prestige Classes
Darokin Guild Merchant
Merchant Prince of Minrothad
These are pretty straightforward. The Darokin merchant would gain access to abilities (and some minor spells) that allow him to influence business transactions. The Merchant Prince is a merchant sailor with spells and abilities that allow him to influence water, air, and the weather.
Forester
Second Shadow Scout
The Second Shadow Scout is an elite hunter/tracker among the Shadow Elves. It is from their ranks that the Eyes of the Serpent spies are drawn.
Not sure Forester should be its own PrC, as the original was basically just a way to create a ranger-type character in OD&D (which didn't have rangers as a class). On the other hand, it is a unique organization with rituals and initiations and training, and thus would seem a good match for a prestige class.