All Thai visa applications are now online, so the KSA embassy were correct, if a little abrupt.
Apply here https://www.thaievisa.go.th/ not on any other, unofficial site.
If you choose the London option, one of the questions asked will be your current location. If you say KSA, you're telling the truth, however were you to accidentally say that you're in UK, (!) I imagine the application would be successful. When it's granted, all you get is a PDF file which you must print out and present at immigration with your passport on arrival.