Lee hopes years of practising at home in Perth heatwaves will give her an edge but admits playing mostly covered from head to toe will be uncomfortable.

"It's just disrespectful for religious purposes to show your skin," the Australian No.1 told AAP before Thursday's first round at Royal Greens Golf & Country Club.

"We have to cover our legs so we don't show too much skin so it just feels like we're in like body suits in really hot heat.

"(Dress) below the knees for women. No sleeveless (tops), no shoulders showing.

"It's just a respect thing but it does feel hot."

Competing by the Red Sea in King Abdullah Economic City, Lee suspects the unique challenge will be as much psychological as physical.

"We have to cover our legs so we don't show too much skin so it just feels like we're in like body suits in really hot heat." - Minjee Lee.

"Mentally, because you're always sweating and you never really cool down, that will be the main challenge," the World No.5 said.

"I just played nine holes and I was cooked. But 18 holes, I mean, it's going to take, what, five hours to go around this golf course?

"So it will be testing all parts of your mental strength, I think."

At least Lee feels somewhat acclimatised.

"When I practise at home, it's often 40 degrees and I don't want to burn so I'm usually in like skins or sometimes I wear long pants not to burn. So I'm OK with it," she said.

Having broken through for her long-awaited maiden major at the Evian Championship and regained a place in the world's top five with a super consistent season, Lee has already ticked many boxes in 2021.

But the 25-year-old craves a second victory.

"Although it's a European Tour event, there's quite a few LPGA girls here so it would give me a lot of confidence (to win)," Lee said.

"If the wind picks up, I can imagine it will be quite challenging around here."

Resurgent two-time major winner and former World No.1 Lydia Ko headlines the field.

The New Zealander will be in good company on the Jeddah coast, with fellow major winners Georgia Hall and Anna Nordqvist also teeing up, as well as Lee's fast-emerging compatriot Steph Kyriacou.

The LET rookie of the year in 2020, Kyriacou is currently third in the 2021 Race to Costa del Sol and needs a big week to have any hope of reeling in runaway leader Atthaya Thitikul.

A third victory of the year for the Thai superstar will seal the deal.

Other big names featuring include Denmark's defending champion Emily Kristine Pederson, Britain's Charley Hull and fellow European Solheim Cup star Carlota Ciganda from Spain.