"I don't want to talk about any of the facts".
But when asked if he was "giving cover" to the Saudi leaders, he said Wednesday that he was not.
Mr Trump and Mr Pompeo are due to meet this morning to discuss the case, following the secretary's whirlwind visits to Turkey and Riyadh.
Trump said Wednesday that he expects Pompeo to deliver "a full report" on his trip to Riyadh, where the top U.S. diplomat met with King Salman and the kingdom's de facto ruler, 33-year-old Crown Prince Mohammed bin Salman.
Khashoggi, a onetime ally of the Saudi royal family turned critic, disappeared on October 2 after he entered the Saudi consulate in Istanbul to procure documents he needed to marry his Turkish fiancée.
Sabah's report does not name the man in the CCTV image, but he has been previously identified as Maher Abdulaziz Mutreb, a reported bodyguard and regular member of Crown Prince Mohammed bin Salman's entourage.
In the column, Mr Khashoggi, a Saudi citizen who went into self-imposed exile in the U.S. over the rise of the crown prince, also discussed the practice of Middle Eastern governments blocking internet access to control tightly the information their citizens can see.
Officials from a joint Turkish-Saudi team completed an investigation into the case early Thursday after searching the residence as well as the Saudi Consulate building in Istanbul.
A team of a dozen police and prosecutors, including forensics experts in white overalls, entered the residence of Mohammed al-Otaibi, a day after he flew out of Istanbul for Riyadh.
Turkish police on Monday night carried out an eight-hour search at the consulate, taking away soil and DNA samples. Erdogan said toxic material was found which had been "painted over".
The chilling details of what is believed by some to have occurred at the Saudi consulate in Ankara were revealed by a senior Turkish official who described the content of an audio recording to the New York Times. "I will not be going", he said.
"You know we need Saudi Arabia in terms of our fight against all of the terrorism, everything that's happening in Iran and other places", Trump said.
Dr Fox's withdrawal leaves Steve Mnuchen, the USA treasury secretary, as one of the last Western officials still scheduled to attend the conference after wave of cancellations.
Meanwhile, International Monetary Fund chief Christine Lagarde has become the latest high-profile figure to withdraw from a major Saudi investment conference next week following Mr Khashoggi's disappearance.
One suspect, Mr Maher Abdulaziz Mutreb, was a diplomat assigned to the Saudi embassy in London in 2007, it said, citing a British diplomatic roster.
Khashoggi in the past said he always considered himself a patriot, viewing his criticism of the Saudi government as a sign of his love for Saudi Arabia and a desire for conditions there to improve. "Any suggestion that I have is just more FAKE NEWS (of which there is plenty)!"