It's a matter of trust. Israelis are paranoid and I doubt they would ever allow such a thing to happen. Unless it is absolutely under their control and Saudi Arabia is barely a launchpad for their future nuclear Armageddon, which is a possibility that countries like Iran and Turkey should carefully consider.
Not even Musk, but any billionaire with enough money to spare. The only thing stopping people from doing that is state intelligence, strict control over acquiring fissile material even in form of natural uranium and prohibitive laws. Besides that, the technology itself is not that complicated.