Allegedly, she has an entry visa for Australia. We will not do that.
The Thai immigration chief said on Monday the embassy had alerted Thai authorities to the case, and said that the woman had run away from her parents and they feared for her safety.
She later tweeted she feels safe under United Nations protection and her passport has been returned.
Ms Qunun told a Thai human rights worker her family kept her in her room for six months because she cut her hair.
He had said she was denied entry because she lacked "further documents such as return ticket or money".
Qunun barricaded herself in a Bangkok airport hotel room, refusing to leave and posting determined calls for asylum on social media to draw attention to her plight.
The Australian government said on Monday night Qunun's situation was "deeply concerning" and it had lobbied the Thai government and the UNHCR to allow her to formally claim asylum. Her brand new Twitter account attracted 50,000 followers in a day and a half.
Thailand landed in hot water yesterday after government officials initially indicated they planned to deport a Saudi teenager who was stopped in Bangkok en route to Australia to seek asylum, drawing objections from the global community and rights advocates.
In this photo released today Rahaf Mohammed Alqunun/Human Rights Watch, Rahaf Mohammed Alqunun views her mobile phone as she sits barricaded in a hotel room at an worldwide airport in Bangkok, Thailand.
In Geneva, UNHCR spokesman Babar Baloch told reporters the process looking into Qunun's asylum claim had started and could take several days.More news: Karolina Pliskova hangs with snakes, animals in Brisbane
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He noted her tweets mentioned "she does not want Islam", adding that "this type of thing, in her country, is a hard crime".
Rights groups including Human Rights Watch have expressed grave concerns for Ms Mohammed al-Qunun, who had travelled to Thailand for a connecting flight to Australia, where she hoped to seek asylum. "She received a threat from her cousin - he said he wants to see her blood, he wants to kill her".
"The embassy does not have the authority to stop her at the airport or anywhere else".
What happens to women seeking asylum overseas?
"The fact is she didn't have any money". "She meant to come here and didn't have any visa to go to Australia". So we have to state the facts here. "We will not do that", he said. She said her travel documents had been forcibly seized from her on arrest. She posted her passport details on Twitter to confirm her identity.
Despite efforts by the Saudi government to curtail the scope of male guardianship laws, women who try to flee their families in Saudi Arabia have few good options inside the kingdom.
Speaking to the Daily Mail, Qunan said that her family is extremely angry and would kill her.
"She's desperately fearful of her family, including her father who is a senior government official, and given Saudi Arabia's long track record of looking the other way in so-called honor violence incidents, her worry that she could be killed if returned cannot be discounted".
"We must talk to her foreign ministry, and the Immigration Bureau must explain its actions because she's a woman and a minor", Angkhana said.
If women are caught running away, they can be pressured to return home or placed in shelters where often the only way out is to escape again.
"The Kingdom of Saudi Arabia has not asked for her extradition", the country's embassy said in a tweet.
The arrival of relatives is the latest obstacle in Ms Alqunun's escape attempt, which saw her detained by Thai authorities and threatened with repatriation after she fled on a family holiday to Kuwait.
A representative from the Saudi embassy in Thailand said there was no one available to comment.