The bodies include those of at least 33 out of 37 people who were last April in a mass execution condemned by rights groups.
All 33 men hailed from Saudi Arabia's persecuted community.
Analysts say Saudi authorities routinely fail to return the bodies of executed Shias.
"Not returning bodies is part of the cycle of persecution of the community," Ali Adubisi, founder of the the European Saudi Organization for Human Rights (ESOHR), told The Washington Post.
Saudi authorities fear the gravesites of executed Shia activists and others could become rallying points for dissent, experts say.
Among the 84 Saudi Shias executed since 2016 was , a revered cleric who was a leading figure in anti-government protests in the Shia-majority in 2011.
Nimr's death sparked and fury across the world.
"If they had released Nimr's body, all Shia areas would have gone out [to the street]," Adubisi said.
"And tombs often become places to visit, often inspire the community, inspire resilience, inspire resistance."
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"I want to bury him in a place that suits him, not like someone whose identity is unknown, or like someone who's committed an ugly crime," she told The Washington Post.
Bakheet's husband Abbas al-Hassan was executed last year on terrorism charges alongside 36 others. Human rights groups condemned the trial as deeply flawed.
The family of Haidar al-Laif, also executed in April last year, does not expect Saudi authorities to yield to their demands.
We "did not get any response and did not benefit from so-called official bodies during his detention," said Zahraa al-Nimr. "Despite there being no evidence that condemns him, he was executed based on confessions that were extracted from him under torture."
They were " after sham trials that violated international fair trial standards [and] which relied on confessions extracted through torture", Amnesty International said in a statement last year.
Around a dozen were accused of spying for , while others were convicted over their alleged participation in anti-government protests between 2011 and 2012.
Two of the 37 beheaded in April last year were at the time of their conviction. International law strictly prohibits the use of the against people who were under the age of 18 at the time of the crime.
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