There are mountains where it does snow however it is far too inconsistent and sparse to guarantee enough snow for a ski resort. They will have to create their own snow like some of the more famous ski resorts do at the beginning and end of their natural ski seasons.
The mountains are high enough with Jabal Al Lawz reaching approx 2,500 metres which is comparable to the Alpine ski resorts in Europe but obviously the overall climate is very different.
You can read more about snow in Saudi here - https://www.visitsaudi.com/en/do/winter/snow-adventures/snowy-hikes