You mean connecting directly in Jeddah from outside KSA to a flight to Asia which stops in Riyadh? Then you are probably talking something like Saudia846 which operates as an international flight from Jeddah to Bangkok with a transit in Riyadh to pick up passengers: you'll be fine if you're passport is fine. Though it would be sensible to call the airline to check.

If you are starting the journey in Jeddah as a resident in KSA you must know about the iqama/contract requirements.