I remember reading somewhere that the stairs lead to what would have been the largest tomb in Mada'in Saleh, but it was never finished.

Mada’in Saleh is one of Saudi Arabia’s two UNESCO World Heritage Sites. The city was settled by the Nabataeans, whose capital was Petra in Jordan, in the first century B.C., and most of the 131 rock-cut tombs date to the first century A.D.