"As of 1980, the longest cost-effective distance for DC transmission was 7,000 kilometres (4,300 miles). For AC it was 4,000 kilometres (2,500 miles), though US transmission lines are substantially shorter."

The distance from Saudi Arabia to Greece, by road, is roughly 2389 km according to Google Maps (albeit passing through Jordan, Syria and Turkey). As the crow flies or using an undersea cable it would be even shorter, so a monumental project but it could be done. Would require striking a deal with the Jordanians and Israelis, but that's well with Saudi capabilities should they choose to do so.