some point to the verse Gal 4:25  “For this Agar is mount Sinai in Arabia, and answereth to Jerusalem which now is, and is in bondage with her children.”  saying it is proof that Sinai was in Saudi Arabia. But I will mention the in Paul's day the roman empire had a province of Arabia which while containing a small part of NW Saudi Arabia also included all of the Sinai peninsula.
 
Paul