Perhaps they didn't have the right casting for such a character, and they would have to finesse the writing to avoid lazy tropes:

https://en.wikipedia.org/wiki/Reel_Bad_Arabs

That said, this show once again unintentionally predicted current event relevance with its creative choices:

https://www.nytimes.com/2019/11/03/world/americas/chile-prot...

Usually on their show they derive much of their humour from being so “on the nose” where many folks don’t realize the farce on-screen actually happened in real life.

Using Saudis would have been very much part of their style.

There's probably a pretty high risk of some future event involving the Saudis being something they wouldn't want to incorporate in their show.