I think Saudi Arabia is not the only Muslim country we have in the world. In many Muslim countries like UAE, Kuwait, Qatar and many others there are different kinds of Christian groups and they have their own Churches to worship their God. But, many part of Saudi Arabia have religious and historical significance which makes it hard to allow the construction of churches in the country. Theologically, some religious scholars even regard every part of the country as sacred place (mosque). In this case it becomes hard to have a Church in a Mosque. We have also heard the same logic in some Christian majority places like Auxum which have historical and religious significance for Orthodox Christians in Ethiopia. Until now Ethiopian Muslims in Auxum are not allowed to have a mosque even if they live there for thousands of years. I also believe it will be very hard to ask for a mosque in place like Vatican since it has a religious significance for Catholic Christians. In general, when we discuss such issues, things should not be taken at their face value and hence religious and historical backgrounds should also be taken into consideration.
Respecting the religious values and concepts of all people is very crucial for harmony and understanding. But, we also need to discussion, raise questions and criticize these values and concepts in respectful and academic context. Insult will bring no positive thing as it has no ear for counter argumentation.