Fitness and Swimming pool for women

In general, most if not all hotels will have their fitness and pool facilities designated for men only. In Jeddah for example only two hotels have facilities for women ,Park hayat and Sheraton Villas.

Some hotels will have a bus that can take female guests to one ladies Center/gym ( In Jeddah I know that at least one hotel does that while most of the others  will have a bus that can take you to one of the beach resorts where its ok for women to swim).so contact the hotel to know

Maybe someone from Riyadh can tell you the name/s of hotels there where they have facilities for women.

For the Abaya, yes she will have to wear it if  she gos  outside your room.