Meanwhile, Arabic-language al-Masirah television network quoted Saudi sources as saying that 33 troops have been killed and 12 others injured in Yemeni retaliatory attacks in the first 10 days of April.
The Saudi-owned Al Arabiya also reports a Houthi scout drone was intercepted over Abha airport in southern Saudi Arabia, near Najran.
The attack on Wednesday marked the fourth time in five months that missiles have flown over Riyadh, as the Houthis step up efforts to demonstrate they can reach the Saudi capital, and threatens to escalate a regional rivalry between Iran and Saudi Arabia.
Saudi Arabia last month said it intercepted seven ballistic missiles fired at Riyadh and other cities by the Houthis, the biggest such barrage since the kingdom went to war against them in March 2015.
The coalition has launched thousands of air strikes in Yemen which have hit schools, markets and hospitals, killing hundreds of people - though it says it does not target civilians.
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Many companies , like online travel site Expedia and Johnson & Johnson, pulled their advertising amid the controversy. Jeff Allen, the program director for FM NewsTalk 97.1, did not respond to an immediate request for comment.
Saudi coalition spokesman Turki al-Maliki accused rival Iran of being behind Wednesday's attacks.
Yemen's Al Masirah TV, controlled by the Houthis, reported that the missile was targeting a Saudi Aramco facility in the city. Iran denies arming the rebels. The group unveiled the Qasef-1 drone a year ago.
The Houthis and their allies have used the drones to disable Patriot missile defense systems deployed by Saudi-led forces in Yemen, said vehicle.
Drones operated by Yemeni armed forces have targeted a Saudi airport and a facility belonging to the state-run oil giant Aramco in the kingdom's southern border regions.
However, the Saudi company tweeted that its establishments were operating "normally and safely".