Most were British colonial possessions. Saudi Arabia unified during and after the end of WWI when the Saudis conquered territory from the Ottomans, Rashidis, and Hashemites in Arabia. This included most territory in the Nejd in central Arabia, Hejaz in Western Arabia, al-Hasa and Qatif in Eastern Arabia, and parts of Southern and Northern Arabia.

However, the British laid claims to Kuwait (which they protected in the Kuwait-Nejd War), Trucial States (modern UAE), Bahrain, Qatar, Oman, Aden (southern Yemen), and Socotra (Yemeni island). The British were powerful enough to fend off any attempts of the Saudis and their allies to conquer these territories (this includes the Kuwait-Nejd War and the Ikhwan raids on Transjordan).

This only left Northern Yemen as independent. There was a Saudi-Yemeni War in 1934, which ended with a negotiated peace and both sides remaining sovereign states (there were some imperial overtones to this conflict as Britain had close ties with the Saudis and Italy with the Yemenis).

Thus, Saudi Arabia unified as much as it could until they ran into states too powerful or protected to conquer. Most Arabian territories under British protection became independent between 1961-71, so it was too late for Saudi Arabia to forcibly conquer them.