Did any of the Apostles travel to present day Saudi Arabia? Apostle Thomas?
I would cite this comment from New Advent on the subject.
The origin and progress of Christianity in Arabia is, owing to the lack of sufficiently authenticated historical documents, involved in impenetrable obscurity, and only detached episodes in one part or another of the peninsula can be grouped together and studied. References to various Christian missionary enterprises in the north and south of the country, found in early ecclesiastical historians and Fathers, such as Eusebius, Rufinus, Socrates, Nicephorus, Metaphrastes, Theodoret, Origen, and Jerome, are valuable, but to be used with caution, inasmuch as a lamentable confusion, common to all writers of that time between Arabia proper and India, or Abyssinia, seems to have crept into their writings.
I found a detailed term paper that covers Pre-Islamic Arabia. From scanning it looks like the student did a good job compiling lots of church history, anthropology, and archeology and other resources together. http://www.academia.edu/829636/Pre-Islamic_Christianity_in_Arabia
13 For you have heard of my previous way of life in Judaism, how intensely I persecuted the church of God and tried to destroy it. 14 I was advancing in Judaism beyond many of my own age among my people and was extremely zealous for the traditions of my fathers. 15 But when God, who set me apart from my mother’s womb and called me by his grace, was pleased 16 to reveal his Son in me so that I might preach him among the Gentiles, my immediate response was not to consult any human being. 17 I did not go up to Jerusalem to see those who were apostles before I was, but I went into Arabia. Later I returned to Damascus.
One tidbit I picked up (looking at the term paper I linked to). Some Early Church Historians credit Thomas as having spread the Gospel to Arabia, but this point is made doubtful by other folks (like the New Advent quote at the top of this entry). The author of the term paper however makes this a credible claim, based on the Fact that Souther Arabia was considered "The Gateway to India" due to the shipping routes of the day.