If that's what YOU feel needto be done, then by all means, go for it.
Feminists in the USA march in the USA because they ARE in the USA.
And though it bites for the whataboutism crowd, the world does not consist of just 'Merica and Mecca. Marching on every corner of the world is not feasible. Nor is it reasonable. Marching on behalf on anything in Saudi Arabia has a bad habit of backfiring, not just for the marchers, but for the cause as well.