Real-life Saudi Arabian streets (Khobar)
An abaya is a women's garment worn in Saudi Arabia. It is a long-sleeved, floor-length loose garment worn over other clothing when a woman leaves the protection of home. It is worn with a headscarf (hijab) and sometimes with a veil (niqab).
Dhahran is a different case
Saudi religious police enforce the wearing of abaya and hijab on all women, even foreigners. Those rules however don't apply in some areas. (See Dhahran for example)
Other Muslim countries have their own versions of Muslim modest dress for women: see burka and chador.