Dina Ali Lasloom, 24, intended to flee to Australia to escape a forced marriage, Human Rights Watch cited a Canadian witness as saying.
The witness said Lasloom approached her while in transit at the airport in Manila, saying "airport officials had confiscated her passport and boarding pass" for a Sydney-bound flight.
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.
"Lasloom's whereabouts are currently unknown," HRW said in a statement from Manila.
The Canadian witness, who spent several hours with Lasloom at the airport in Manila, reported that two of Lasloom's uncles arrived, the New York-based watchdog said.
It also quoted an airline security official as saying he heard Lasloom "screaming and begging for help" on Tuesday before security personnel and men who appeared to be Middle Eastern carried her "with duct tape on her mouth, feet and hands" at the airport.
Asked about the HRW statement by AFP on Friday, the Philippine immigration department said it had held no one of Lasloom's name and no Saudi national.
"There was no Saudi national by that name who presented herself," spokeswoman Antonette Mangrobang said.
- 'Guardianship' system blamed -
"As far as immigration is concerned, we did not hold any Saudi national."
The spokeswoman said that if Lasloom was a transiting passenger, then she would not have passed through immigration and it would have been up to the airline to decide what happened to her.
A Saudi activist told AFP that Lasloom, who lived in Kuwait, "was brought back by force to Riyadh and is now in custody."
The activist worried that both women could be detained "for a long time".
Philippine President Rodrigo Duterte was on a state visit to Saudi Arabia on Monday and Tuesday when the incident occurred.
The Berlin-based European Saudi Organization for Human Rights told AFP that "the seriousness of what Dina Ali is facing" stems from the guardianship system.
"Women's rights are... the most prominent human rights problem in Saudi Arabia," the group said.
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."
Human Rights Watch called on Saudi Arabia to reveal whether Lasloom is with her family or is being held by the state at a shelter.
"Lasloom is at serious risk of harm if returned to her family. She also faces possible criminal charges" for alleged parental disobedience and harming the reputation of the state with her public cries for help, the watchdog said.
It called on the Philippine government to also investigate and hold accountable "any of their officials who failed to protect Dina Ali Lasloom", as required by international law.
Madawi al-Rasheed, a visiting professor at the London School of Economics Middle East Centre, wrote on Twitter that Lasloom's case is "a classic... in which state and family cooperate against women in KSA" (the Kingdom of Saudi Arabia).
(This story has not been edited by NDTV staff and is auto-generated from a syndicated feed.)
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