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The Saudi island of Tiran (Yotabe).
According to Bernard Lewis: "At a certain point [in the late 400's to early 500's CE] the inhabitants are described as Jewish -- whether they were old established Jews, converts to Judaism, or newly arrived Jewish settlers from Judea is not known. Engaged principally in the southward trade... they were at first independent and tended to be rather anti-Byzantine." He goes on to note that in 525 CE they were subjugated "but other Jews appeared at the southern end of the Red Sea where the king of the Himyarites was converted to Judaism, thus establishing, for the first time in many centuries, a Jewish monarchy -- this time in the southwestern corner of Arabia (The Middle East: A Brief History of the Last 2,000 Years, pp. 44-45)." Lewis is presumably referring to the most famous purported convert king, "Yousef Dhu Nuwas" (there is actually a street in Jerusalem named after him) although he was not alone among the royalty of the Himyarites in embracing Judaism.
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Map and background on Himyar sites:
Yemeni website which attests to some of the history:
http://www.sabanews.net/en/news63323.htm