Ajax processed not added on link element
In order to have the AJAX event assigned (and the ajax-processed class added) to a link you need two things:


use-ajax class on the anchor tag
AJAX library loaded


I'm guessing you're missing item #2, and that can be done in a few different ways:


If you're generating a renderable array, use #attached:

$my_data['#attached']['library'] = array(
  array('system', 'drupal.ajax')
);
Or you could run this PHP pretty much anywhere prior to the page being rendered:

drupal_add_library('system', 'drupal.ajax');