Not funny. You see, the chances are, that if she was in Riyadh she would already be wearing a burkha, so asking for a second one would be a waste of time. In any case, casinos probably wouldn't sell burkhas. She would be better off just asking for the chips, which could also be a problem, because all forms of gambling are probably banned in Saudi Arabia.
A better joke would possibly be: A NUDE woman walked into a FISH shop in Riyadh, and asked for burkha and chips. But, I would consider this, too, unfunny.