In May it should be relatively ok, the key determinative factor for comfort will be the humidity and not the temperature. I am assuming you will be in the gulf and not the red sea. The red sea is generally more predictable than the gulf as far as humidity (not as humid generally).

May is usually a relatively dry month, but weather changes have made things relatively unpredictable. Last year, I recall the spring leading into the summer was much milder than usual(although I do recall some humid days late spring early summer), whereas my first year here in Bahrain (2010), it was hot in april. Generally the times to avoid for bad humidity are September/October.