It's not his company. He runs it, but he can be fired if he isn't doing what the shareholders want. He can't just inject his personal opinions in when it comes to who the company does business with. That's absolutely not what being the CEO of the world's largest corporation is all about.
Also, what good would it do? They would still get Apple's products, or competitor's product which does the same function, one way or another. Besides, women are able to buy and use Apple's products - the same products women in the rest of the world have access to - for their education, enjoyment, whatever. Their products aren't specifically prohibited from certain groups, otherwise they might have more to say on the matter.
I don't agree that Apple withholding sales from the ME would bring about any positive change there in those areas at all. Even if the entire technology industry followed suit and they were reduced to using inferior technology (or privately importing), it would just feel like bullying and snobbishness by foreigners who don't share their culture or understand their religion. You don't make change in foreign places; that's not your business. However, if you give them the right tools and information, you can help them make changes of their own accord. It needs to come from home. They need to realise for themselves why these changes are important and what benefits it has for their society. You can't impose that level of understanding on people.