I would say the same, i don't think there a double-entendre there as the "do" of "and when you do you come home..." means "when you do go to Saudi Arabia you come home...", not "when you don't go with a man you come home...". See what I mean?
I think it's just a plain joke on the fact that Saudi arabia is full of sand and it ends up in bad places. But i might be wrong!
