Saudi Arabia generally allows "Transit Without Visa" (TWOV) at Dammam - presuming your itinerary allows you to stay within the international transit area of the airport. Unfortunately in your case this is almost certainly not possible.
Pegasus do not allowed transfer of baggage to another airline when connecting on a separate PNR/ticket. This means that on arrival in Dammam you will need to clear immigration to collect your bags, and then check-in for your connecting flight on IngiGo.
As you will need to clear immigration, you will require a visa.
The only exception to this would be if you were not checking bags, in which case you should be able to stay within the international transit area, and would not require a visa. However even then there is a risk that Pegasus would not allow you to board given that your connecting flight is on a separate ticket. This risk is likely low, but there are plenty of horror stories out there when it comes to Pegasus...