Back in 2003 when I was coming to the Shi'i path, I investigated the fiqh for going for hajj. According to both the Shafi'i School and the Ithna'ashari school, a mahram can be a group of women, or even one another woman. As Mrs. Donati says, the issue is one of safety.
If you are talking about actual Saudi law, which prohibits unmarried women from going on hajj, some women still do travel with their brothers, as an example.
Therefore, different schools of thought in Sunni Islam have different rulings, and the Shafi'i School is in accord with the Twelver School.