Exactly as others have pointed out, citizens of Saudi Arabia, whether born or naturalized, must be Muslims. Period. They are all viewed as Muslims by the law and authorities, and they must behave like Muslims (i.e. they must observe Sunni Islam), and as such they are free to visit Mecca and other holy sites of Islam in Saudi Arabia. If they want to convert to another religion or become atheists, they must emigrate (and possibly keep hiding from their families), otherwise they are going to face harsh penalties, such as flogging, prison time, or even death.
Of course, not all Saudi citizens are devout Muslims, but secretly not observing Islam, in case of citizens, is only possible to a very small extent in Saudi Arabia. Religious police checks that everyone participates at Friday prayers, observes the Ramadan, abstains from alcohol, etc. Non-Muslim foreigners are allowed not to observe Islam, but some things are only allowed in their gated compounds (e.g. daytime eating during Ramadan) and some things are officially banned even for them (e.g. extramarital or homosexual sex).
Naturalized citizens must declare their islamic faith before obtaining citizenship (not that it happens too often). From that moment on, they are viewed as Muslims and must adhere to the same rules as natives.
Saudi Arabia is by far the stricktest islamic country in the world. Many other Muslim-majority countries are more tolerant and many have indigenous religious minorities (incl. Christians), but apostasy (stopping being a Muslim if you previously were one) is a crime in most (if not all) of them.