Yes, provided your goods come to at least SAR 75 and no more than SAR 1,875. You'll also need to confirm the order via a text message sent to your phone. Each cash on delivery order carries an additional charge of the equivalent of SAR 22.5, so look over the final total before confirming.
In Saudi Arabia in particular, the driver is paid by card, or you pay at a pickup point; cash isn't accepted. The option might be hidden for you if you've cancelled lots of orders in the past or turned deliveries away.
Once confirmed, you can still cancel the order yourself in “My Orders” during a window of anywhere between 10 minutes and 6 hours, provided it hasn't been shipped. Refunds for items returned from a cash on delivery order land in your SHEIN wallet in roughly 24 hours; that money can't be transferred to a card or any other account.
Source: SHEIN: Cash on delivery