They might be able to do Yemen, who obviously can’t fight back on a level playing field.
Them taking on a Russia, would be really insane, because Russia can and would fight back and no matter how many is in Saudi’s coalition, I don’t think they could win against Russia.
The Sauds have already discussed getting nukes from the Paks. If it goes hot, you are right, the Saudis are no match for Russia, and it may quickly become a fight for the Kingdom’s survival.
Enter theater tactical nuke exchange?