Saudi seems like a pretty logical place for him to go if he had a way to get there undetected. As evidenced by one of his latest videos of him meeting with a Saudi millionaire, he would have much better resources to stay hidden than he's gonna have in a cave or in some little village on the Pakistani border.
Assuming he actually still is alive, he is on the run and the best place for him to be right now is away from the action, especially with us bombing everything in sight. If he had a chance to sneak into Saudi Arabia it would make it that much harder for us to get to him because of the approval we would need to get from another nation to search for him there without just busting in and blowing the shit out of people who get in our way. That would really get the other muslim nations on our ass if we just started invading every country where he "might" just be. We need to get some hard info and it would make our job a lot easier.