You can send it in either country. In the I-130 there is a question on the present address of your fiancee and which consular office your fiancee is going to apply. Just make sure that that your fiancee is in the right country when it is time for him to apply for the visa.
I will agree. After you file the I-130, your case will actually probably be processed in Jeddah unless she moves back to Philipines.
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