Saudi officials have denied any involvement in Khashoggi's disappearance and alleged murder, saying he left the consulate on October 2.
Khashoggi's fiancee, Hatice Cengiz, said she waited for him and he never came back out on October 2. "And the reports that a Saudi Arabian journalist may have been tragically murdered in Turkey should be deeply concerning to everyone who cherishes a freedom of the press and human rights across the globe". "We have nothing to hide", he said in an interview with English-language Bloomberg news network. "If they're this brazen it shows contempt. Contempt for everything we stand for, contempt for the relationship".
He said he would be "very upset and angry if that were the case", but ruled out halting big military contracts. He also said the USA was working "very closely" with Turkey, "and I think we'll get to the bottom of it".
President Trump also discussed the disappearance with reporters at the White House Wednesday.
'We're going to take a very serious look at it, it's a awful thing, ' Trump said. "It's a bad thing".
She added: "Although this incident could potentially fuel a political crisis between the two nations, let us not lose sight of the human aspect of what happened".
'And we can not let this happen.
Since Khashoggi's disappearance, the Trump administration has come under increasing pressure to press the Riyadh government for details about his whereabouts.
Sen. Bob Corker, the chairman of the Foreign Relations Committee, said in a tweet Monday that he had spoken with the Saudi ambassador. "And frankly, I think that that would be a very, very tough pill to swallow for our country".
Turkish officials say they fear Khashoggi was killed, an allegation dismissed as "baseless" by Saudi Arabia.
The Post, citing anonymous US officials familiar with the intelligence, said Saudi Crown Prince Mohammed bin Salman ordered an operation to lure Jamal Khashoggi from his home in Virginia to Saudi Arabia and then detain him.
Diplomatic sources have now told the BBC's James Landale both the US Treasury Secretary, Steve Mnuchin, and the UK's International Trade Secretary, Liam Fox, might not attend the event, which is being hosted by the kingdom's Crown Prince Mohamed bin Salman to promote his reform agenda. "It is not possible for us to remain silent regarding such an occurrence, because it is not a common occurrence", he said. "I think she's in shock, now even more", her friend said.
"At this time, I implore President Trump and first lady Melania Trump to help shed light on Jamal's disappearance", Ms Cengiz wrote.
In a related development, more than 20 Republican and Democratic senators, in a joint letter to President Trump have instructed to order an investigation into Khasoggi's disappearance under legislation that authorises imposing sanctions on perpetrators of extrajudicial killings.
Trump says nobody knows exactly what happened and expressed hope that Khashoggi is not dead.
The US leader said on Wednesday that he had talked to the Saudi authorities "at the highest level" about Khashoggi. The 15 Saudis left Turkey at four different times, the Sabah report said.
On Wednesday, State Department spokesman Robert Palladino said the United States "had no advance knowledge" of such a plan.
Khashoggi had written a series of columns for the Washington Post that were critical of Saudi Arabia's assertive Prince Mohammed, who has led a widely publicised drive to reform the conservative Sunni monarchy but has also presided over the arrests of activists and businessmen.
The Sunday statement by France, Germany and the United Kingdom said the countries "encourage joint Saudi-Turkish efforts" and "expect the Saudi government to provide a complete and detailed response". "I thought that I would learn so much from him", she said.