Can I finish and have my work visa for hong kong from the chinese embassy in Riyadh or I have to take it from Egypt?

If you have valid resident permit in Saudi Arabia, you can apply it in Riyadh. As far as I know, such application is processed by the HK Immigration Department. It takes at least four weeks to get it done. For the detailed required documents, please read this page:
http://www.immd.gov.hk/en/services/hk-visas/professional-employment/guidebook.html