Ahhh, Saudi Arabia.

You are right that DMM will not show up on the DL website, since DL does not fly directly there, and DL does not code-share with any partners to DMM.

I would spend the $10 and book with the DL international desk, but you can book it through Travelocity or other booking system without screwing anything up.

In any event, you will earn MQMs on any Skyteam flight, regardless of if the end destination is a code share destination or not.

You will also be able to check your bags all the way through as long as the trip is on a single ticket (and probably even if it is not).

Cheers.