Pyongyang (Western woman + not a fan of extreme climate)
currently it's about zero degrees Celsius in Pyongyang, whereas it's about 16 degrees in Riyadh. I'm not sure what your idea of extreme is but I'd regard the current condition in Pyongyang as a bit more extreme.
I've never been to either, so I can't really intelligently vote, but just for fun I voted for Riyadh, although it has nothing to do with the weather. I do understand any woman choosing just about any other place, though.
Just FYI, foreign ambassadors, diplomats, and a few others have exemption to the zero-tolerance policy on alcohol, so my vote assumes that I'm in that subgroup that is allowed to consume liquor. If I'm not, then it's a deal-killer. FWIW, I gather that the decent alcohol palaces in Pyongyang are geared to foreigners as well, but they don't seem to get as hung up on which social stratum the foreigner belongs to.
From what I gather foreigners live isolated, but relatively comfortable lives in Pyongyang. I had a cousin that visited Pyongyang as a tourist and he thought of it as strange, but not unattractive.
There have been many cases where foreigners have been blackmailed or extorted (incl. sexual favours) by Saudi police and security guards if they broke rules and disappearing into the seedy underworld Madeleine talked about may be quite risky for a woman or a gay. Generally I imagine it would be easier to navigate Pyongyang. Only danger would be getting emotionally or romantically involved with a Nork, but since the expats are so isolated outside of work situations/controlled events and the Norks are under so heavy surveillance and social control I imagine that would be a very limited risk. It would be trivial on some level, but safe and exotic enough to be interesting, while there would be all sorts of hassle connected with being a Western woman in Riyadh + the gender aparthied would be a red flag and provoke me more than the general repression in North Korea. Besides I like Korean culture and would be curious of seeing the other side up close.