And that is your problem. Apple Watches made for and sold in the US are made to work with carriers in the US, Canada, Mexico and Puerto Rico. Your watch was not designed to work with carriers in Saudi Arabia, nor can it work with carriers in Saudi Arabia. And you cannot exchange the watch in Saudi Arabia. So, if you want to return your watch, you'll need to hop on a plane and bring it back to the US within 14 days of original purchase. Or you can use your watch as a GPS only model, meaning it will work, but not on cellular and you'll just need to have your paired iPhone with you for it to work.
Or, if you know someone in the US you can sell the watch to, sell it to them, then buy a new watch in Saudi Arabia. The watch you bought does not have the hardware to support the cellular networks where you live. Nor, does it have warranty in Saudi Arabia.
Apple Watch is not International. You should have purchased your watch where you live and will use it.