Where are you getting this from? Saudi Arabia doesn't recognize trans people. Shepard was not a Saudi citizen and only lived there for a time in his youth because his father worked for a Saudi company. Foreign guests of course would have less restrictions than Saudi citizens. They want $$$$$, obviously, which is their real god. Not that that means anything for Shepard since he was just a kid when he was there.
"Lesbian, gay, bisexual, and transgender (LGBT) people in Saudi Arabia face legal challenges not experienced by non-LGBT residents, and Saudi Arabia is considered to have one of the worst LGBT rights records in the world. Both male and female same-sex sexual activity is illegal. LGBT rights are not recognized by the government of Saudi Arabia. The Saudi social mores and laws are heavily influenced by Arab tribal customs and ultra-conservative Wahhabi Islam. Homosexuality and being transgender are widely seen as immoral and indecent activities, and the law punishes acts of homosexuality or cross-dressing with punishments of fines, public whipping, beatings, vigilante attacks, chemical castrations, prison time up to life,[3] capital punishment[4] and torture.[5]
...
The Saudi government views cross-dressing and being transgender as being prohibited under Islamic jurisprudence, and is therefore illegal.[29] Criminal sanctions for cross-dressing tend to be the same for homosexuality, i.e. torture, whippings, fines, imprisonment, capital punishment, and, for foreigners, deportation.
The Saudi government does not permit sex change operations to occur in the kingdom, and it does not allow people to obtain new legal documents to have their gender changed on their documents. Much like with homosexuality, family members may feel obligated to kill an LGBT sibling or relative in order to "save face" or restore the family's honor and esteem within the community.[30]
...
People with a transsexual or transgender identity card are not allowed to make the pilgrimage to Mecca.[34]"
LGBT rights in Saudi Arabia - Wikipedia
Please tell me another fairy story.