On social media many others were indignant, demanding punishment for those responsible for the event.
One Twitter user, Ahmad al-Saneh, said however that he did not consider the dancers' dress excessively immodest. In Saudi Arabia, most local women still wear traditional cloak-like robes in public.
Faced with the conservative backlash Jazan's governor, Prince Mohammed bin Nasser, early Saturday ordered an inquiry and "necessary measures to prevent all abuse." He did not elaborate.
For the past five years Saudi Arabia, where two-thirds of the population is younger than 30, has been introducing a wide range of entertainment and sporting events from music concerts to cinema and a Formula One Grand Prix auto race.
The move, despite resistance from conservative hardliners, is part of a broad initiative by de facto ruler Crown Prince Mohammed bin Salman for social reform and economic diversification of the oil-dependent economy, which hosts Islam's holiest sites and espouses Wahhabism, a rigid form of the religion.
In April 2020 authorities in the kingdom said they had executed a Yemeni man convicted over a knife attack on a Spanish theatre troupe during a live performance in Riyadh.
Critics and rights groups have said the kingdom is using major sports and entertainment events to whitewash its poor human rights record, including the 2018 murder and dismemberment of journalist Jamal Khashoggi.