The Saudi Gazette said the bride's father, also on death row, had arranged the marriage on Thursday.
The wedding celebrations included a small dinner party for relatives and friends and a private meeting for the couple in an apartment organized by the jail administrators.
When asked about the reasons for the marriage, the groom said there was still a chance his sentence would be cut. Under the country's laws, capital punishment can be reduced if the murdered victim's family agree and are compensated.
Even if the execution goes ahead the bride will receive $26,000, as part of her dowry. But, the girl said she was happy with the marriage and was looking forward to giving birth.
Public executions are common in Saudi Arabia, which has some of the strictest laws in the Islamic world for murder, drug trafficking, rape and armed robbery. According to estimates, around 130 people have been publicly beheaded in the country so far this year.
