A site or game says I'm not in Saudi Arabia

Websites and games cannot see where you are. They take your IP address and look it up in a geolocation database they license from a third party, and those databases are updated on their own schedule. Blocks of IP addresses are reassigned between providers from time to time, and when that happens the public records can keep showing the previous location for days, occasionally weeks. During that window our Riyadh and Jeddah servers are physically in Saudi Arabia while some services still read them as somewhere else. It is also why one site shows the right country and another does not at the same moment: they use different databases, updated at different times. There is nothing to fix on your device, and it is not a sign the server has moved. Connecting through the other Saudi city often helps, because Riyadh and Jeddah use different address ranges, and the records catch up on their own.