The two men, a Yemeni and a Chadian national had contacts with the Yemeni branch of the terror network, al-Qaeda in the Arabian Peninsula (AQAP), according to ministry spokesman General Mansour al-Turki.
The Chadian suspect had been expelled from Saudi Arabia but he returned with a passport issued by another country, Turki added.
"The two suspects may have been implicated in the threats against Western embassies in the region," he said.
Al-Qaeda in the Arabian Peninsula is seen by Washington as the most active branch of the jihadist network.
According to a report in the Wall Street Journal citing an anonymous US official, Wuhayshi masterminded the plot.
If confirmed, the idea that Zawahiri played a passive role in the plot will lend weight to US President Barack Obama's claim that so-called "core al-Qaeda" is on the ropes.
But it will also feed fears that regional Al-Qaeda franchises, such as Wuhayshi's AQAP, are becoming major threats in their own right.
According to Yemeni officials, his group planned to storm a Western-run oil terminal and seize a port city.
Yemeni officials believe they have foiled the plot, and there have been several reported US drone strikes this week.
The latest trio of strikes yesterday killed 12 al-Qaeda militants, according to Yemeni military official sources.
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