It is alleged that the powerful heir to the throne must have at a minimum been aware of the plan to kill Khashoggi, who had become increasingly critical of the Saudi royal family since moving to the U.S. in self-imposed exile in 2017.
They also rejected the charges that their father was a supporter of the Muslim Brotherhood organization.
Then, they said he had been killed in the consulate during an interrogation by rouge operatives that had gone wrong.
Saudi Arabia deployed a chemist and toxicology expert to Istanbul after the murder of journalist Jamal Khashoggi in an attempt to cover up evidence of the killing, a Turkish newspaper reported on Monday. "This will happen" said Salah, who sat for the interview with his brother, Abdullah Khashoggi, 33.
Many Western delegations called on Riyadh to abolish the death penalty and the system of male guardianship over women, and to narrow the definition of "terrorism" in law so that peaceful critics are not prosecuted.
Without the body, the family can not conduct a proper burial or move past the disappearance.
"All what we want right now is to bury him in Al Baqi [cemetery] in Madinah with the rest of his family", Salah said. "I talked about that with the Saudi authorities and I just hope that it happens soon".
Saudi Arabia is the major investor in Softbank's $93bn (£71bn) Vision Fund.
The news emerged after newspaper reports last week claimed Khashoggi's body was disposed of by dissolving it in acid.
The delegation is presenting a report over the country's efforts to live up to its global human rights obligations, and will respond to questions and comments from countries around the world on its record.
Khashoggi's body has not been recovered, and Saudi authorities are conducting an official investigation.
Earlier theories floated that Khashoggi's body was wrapped up in some kind of fabric and given to a local Turkish coconspirator.
The prince is the brother of Prince Alwaleed bin Talal - one of a group of royal family members and businessmen who were held in the lavish Ritz Carlton in Riyadh a year ago as part of an anti-corruption purge.
"Of course, the death of Jamal Khashoggi is beyond disturbing because the freedom and safety of the press is something that is incredibly important to me", he said.
"This case can not be covered up, and we are expecting close cooperation from Saudi authorities on the investigation we are conducting transparently and meticulously", Gul said.
"Our source is the same source that you have". "This is putting a lot of burden on us - all of us". "On the other hand, we have a responsibility towards the Saudi people, and we must carry out our responsibility rather than turn our backs on them".