What states? Saudi Arabia isn't in any way a federal state. If anything, the primary subnational identity is more tribal than anything else. Before the current Saudi state, the area that is now Saudi Arabia was divided into the directly Ottoman administered Vilayet of Hejaz, the Ottoman client Rashidi state ("Ha'il Emirate", "Emirate of Jabal Shamar"), and small portions of the Ottoman Vilayets of Baghdad and Yemen. Note that the Ottoman subdivision were purely adminstrative, as the Empire had a very centralized bureaucracy until its dying days, and that the Rashidi state was completely tribal in nature. The modern Saudi state has made absolutely no efforts to devolve power to local administrations, keeping everything in Riyadh and, when possible, within the Saud family.
It's possible that some enterprising regional governor or commander of local military forces (which, again, are almost literally all members of the Saud family) might decide to try and make it on their own in a disintegrating Saudi state, but the resulting entities are hardly going to be states in the sense that permits federation.