Well, besides the OTL options of Afghanistan and Iraq, and the aforementioned possibility of Yemen, I would nominate two African peri-Middle Eastern countries as "next targets": Libya and Sudan. Both of them had dictatorial regimes that had been involved in terrorism (Sudan had even hosted Osama just the same way Afghanistan did) and there were calls to intervene against both IOTL for somewhat different reasons not necessarily very related to the War on Terror. And, of course, we did end up going in and toppling Gaddafi in 2011.
But I really think that's about it. Saudi Arabia is, as you note, a US ally; Pakistan is as well (at least nominally) and has nuclear weaponry; Syria is probably too tough; Iran is definitely too tough; Egypt and the other countries of the Arabian Peninsula aside from Yemen are US allies like Saudi Arabia; Algeria is fighting Islamic terrorists itself; and Morocco is, yet again, a US ally or at least not supporting terrorism. So there's really no other targets that the United States could plausibly intervene in other than the other countries and the three others mentioned above.