Female Pilgrims are not allowed to travel to Saudi Arabia without Mahram. It is teaching of Islam and rule of Saudi Arabia. However, generally, women from all over the world come to Saudi Arabia without Mahram. Hajj agents from all over the world make arrangements by attaching the women with different families to legalize the work illegally. These Hajj agents charge a lot of money from those women who don’t have Mahram to go with them. They have made it a business and just want to earn money. This is the basic reason; now Saudi government has imposed heavy fines upon the carriers of the women without Mahram.
Who is Mahram? This category refers to all those males whom a woman cannot marry at any time in her life whatsoever. In another word a male who is forbidden permanently, forever (i.e. one’s father, brother or son etc.) Hajj is fard on every Muslim if he or she has the capacity to do it. If she does not have any Mahram to go with her, the definition of capacity is not met for her. So, hajj is not fard for her in such situation. Check this link as well “Who is considered Mahram in Islam?“
Detail of Fine imposed by Saudi Government: However, this year Saudi Government has taken very firm action by announcing that a fine of SR 50,000/- will be imposed on the airline which brings a woman hajj pilgrim without Mahram. The General Authority of Civil Aviation (GACA) has warned airlines that if they are involved in bringing in a woman without Mahram in Saudi Arabia, they will be fined SR 50,000/- for each incident.
Moreover, that woman will be immediately deported with the next flight of the same airline on the expense of the airline. However, an exception has been given to that women hajj performers with the age of 45 years or more. I think according to Saudi laws; they can travel without their Mahram.