Welcome to FT!

What is your question? You ask what to do - about what?

Yes, you bough a ticket which involves a (self)transfer at Dammam. And most likely there is another transfer in Istanbul SAW airport because Pegasus air doesnt fly Dammam to Amsterdam. You need to enter Saudi Arabia in Dammam so you should check if you need a visa as Indian to enter Saudi Arabia (I don't know).
If your question is if 2h:35min is enough at Dammam, it should be OK if your flight arrives on time. Do you have luggage to check-in? It is better to do this trip with hand luggage only,

Sorry but you need to be more specific about your concerns and question for us to be able to help you.

PS. DId you not check the flights/itinerary before you bought the ticket? It seems that you just bought the cheapest availabale ticket without considering the flights involved and whether you are actually able to travel this routing. It seems far better to have booked a direct flight or a flight via e.g. Istanbul on Turkish Airlines.