Do any countries have (or have had in the past) a female ambassador accredited to Saudi Arabia?
From 2010: A Georgian woman has become the first woman ambassador to Saudi Arabia after presenting her credentials to King Abdullah. Although it looks like her appointment covered several Gulf states at the same time and she was based elsewhere. Once Georgia built a real embassy in SA, they made a man their first one-on-one ambassador. Ms. Meiering-Mikadze is currently the Georgian ambassador to Qatar.
Somewhat related from 2015: Saudi Arabia appointed a female consul to its mission in St. Lucia. First female head of a Saudi diplomatic mission.