Militants in Yemen threatened Monday to strike the US Embassy for a second time.

Riyadh, Saudi Arabia - Two Saudis formerly jailed at the US prison camp in Guantánamo Bay, Cuba, have joined Al Qaeda's Yemeni branch, and authorities here worry that two other ex-Guantánamo inmates may have strayed back to militancy because they have recently disappeared from their homes.

The revelations illustrate the difficulties faced both by President Obama, who has pledged to shutter the facility for terror suspects, and the Saudi government, which is trying to reform its own radical jihadis, many of whom were imprisoned at Guantánamo before being released back to the kingdom.