Hey there !
The question isn't straightforward but hopefully what I'll say will at least help inform your decision given that I actually worked extensively in the region (incl., projects in Saudi) and that I also have a wide network of consultants based there today (incl., females)
1- Saudi is changing yes, but more importantly you're not alone there and you can find your routine.
A lot of consultants are taking offers in Saudi (directly sign to be based there or are moving from Dubai) given the attractive packages and given that there is a top-down push to open offices there to be able to serve the market. As a result of that, compounds and other residential areas are becoming packed with expats that have found their own way of living, routine, activities and outings ! You would be surprised (and relieved) to hear how happy some of my friends are there. Obviously, it remains different from Dubai on multiple fronts, but you can find your bubble there.
2- Your exits will depend on your broader background and the type of projects you do in Saudi
What you want to avoid is doing public sector studies ONLY (e.g., Ministries, public funds etc.,). I personally did my fair share of those but also did lots of mergers, corporate restructuring, corporate finance and transformation studies there. That helped balance out my Saudi experience and gave me more credibility globally.
Also, exit opportunities depend on your personal background (the passport you hold, the experience you have outside consulting etc.,). Recently, I also saw a couple of moves to Paris, London, New York and other cities. If you want to make it happen, you can and Saudi experience isn't a big blocker.
Best of luck !
Mario