Of course they do. It's a dangerous neighborhood. Pakistan has nukes, Israel has nukes, the US has nuclear ships in the region and Iran may get nukes in the future.
See the thing that's overlooked in the US's "us vs them" worlview is that the Arabs and the Persians are not at all friendly. Saudi Arabia and Egypt are battling Iran for influence in the region, not only Arabs vs Persians but Sunni vs Shia. And the Iranians in turn have good reason to be worried, given that the Arab world has no love for the nation of Shia heretics and it's growing power.
The real danger in this is not that the Saudi or Turkish or Iranian government would launch a nuclear attack, but that the government of a nuclear-armed nation could collapse and the resulting free-for-all would see the nuclear storage depots raided by ter'rist and various thugs. That's the danger with Pakistan, and since that the Saudi and Egyptian governments aren't exactly bastions of stability there is a real reason to worry.