There is no rule, law, edict, etc for non-Muslim foreigners to wear head coverings in Saudi Arabia.
And if the House of Fraud is/was so concerned, we should "gently remind them" we have a rule against them financing people to fly into our buildings & kill our people.
Since you obviously strongly object to women wearing head scarves, my first suggestion would be - don't go to Saudi Arabia. As an American, you have the right to not wear a head scarf. But you do not have a "right" to go to Saudi Arabia - they allow you to go as a guest. And if you are a guest in someone's home, I think you should try to respect their rules and traditions as much as you can - or don't go. That simple. No one forced her to go to Saudi Arabia, and no one forced her to attend the funeral...