There are ten world capitals with average annual high temperatures that are higher than Riyadh's, mostly within a few degrees of Riyadh. But almost none of them get the cooler temperatures in the winter than Riyadh gets, including capitals with lower annual high temperatures. I'd rather have the extremes the Riyadh gets, even though it's pretty miserable right now, because then you get cooler weather in the winter.
This list has the average annual high, then the highest monthly average, then the lowest, then humidity. If the humidity is over 50%, I consider that humid.
Khartoum- 37.1/98.7, 41.9/107.4 (May), 30.7/87.3 (January), not very humid most of the year
Niamey- 36.2/97.1, 40.9/105.6 (April), 32.5/90.5 (January), humid June-October
N'Djamena- 35.8/96.4, 41/105.8 (April), 31.6/88.9 (August), humid June-September
Bamako- 35/95, 39.6/103.3 (April), 31.1/88 (August), humid May-October
Ouagadougou- 34.8/94.6, 39.3/102.7 (April), 31.1/88 (August), humid May-October
Juba- 34.5/94.1, 37.9/100.2 (February), 31.1/88 (July), humid except in the winter
Kuwait- 34.3/93.8, 46.9/116.4 (August), 19.5/67.1 (January), humid October-April
Djibouti- 33.9/93.1, 41.7/107.1 (July), 28.7/83.7 (January), humid almost all year
Panama City- 33.8/92.8, 35.4/95.7 (April), 32.6/90.7 (October), humid all the time, but less in the spring
Muscat- 33.3/92, 40.4/104.7 (June), 25.5/77.9 (January), fairly humid most of the year
Riyadh- 33.1/91.6, 43.5/110.3 (August), 20.2/68.4 (January), low humidity all year
Abu Dhabi- 33.1/91.6, 42.9/109.2 (August), 24.1/75.4 (January), humid all year
Abuja- 33/91.5, 36.9/98.4 (March), 28.9/84 (August), humid during the summer rainy season
Port-au-Prince- 32.8/91.2, 35/95 (summer), 31/88 (winter), humid all year
Doha- 32.7/90.9, 41.5/106.7 (July), 21.7/71.1 (January), humid almost all year
Bangkok- 32.7/90.9, 35.4/95.7 (April), 31.7/89.1 (December), always humid
Kuwait does get a little cooler in the winter than Riyadh, but since it's more humid, I'll still take Riyadh out of these top 15 capitals.