Dina Ali Lasloom, 24, intended to flee to Australia to escape a forced marriage, Human Rights Watch cited a Canadian witness as saying.
The Canadian said she helped Lasloom film social media videos about her plight.
In one of them she said: "If my family comes they will kill me," HRW said.
Arranged marriages are the norm in Saudi Arabia, where a "guardianship" system requires a male family member, usually the father, husband or brother, to grant permission for a woman's study, travel and other activities.
Philippine President Rodrigo Duterte was on a state visit to Saudi Arabia on Monday and Tuesday when the incident occurred.
The Saudi embassy in the Philippines said on Twitter that "the information that has been circulating over social media is untrue.".
It described the incident as a family matter and said: "The citizen has now returned with her family to the homeland.". »