The Gerudo in the Legend of Zelda series are also, essentially, Red headed Arabs. So there may be a broader folklore at play.
However, it should be noted that red hair often comes with character implications. In Norse mythology Thor is red headed, yep, you heard me he is actually red headed. The red hair represents his temperament, which is not too calm. The desert Amazons too are suppose to be rash, impulsive and emotional and therefore red hair is a good colour for them. Hair colour in art can often boil down to ethnographic factors, but more often than not it is a means for the creator to relay a character trait to the audience.