Why would you need to leave Saudi Arabia Illegally?
There are many people working in Saudi Arabia who find themselves for one reason or another living there illegally and then wish to know how to escape from Saudi Arabia. It has happened to myself as a westerner once and I know many others who have had problems.
If you overstay your visa, or fail to renew your Iqama (Saudi residency permit) then you become an illegal and as such you could be imprisoned and fined if you try to leave...