He can't go after Persia if his father took care of them.
He might try
a) Carthage
b) Gaul and Celtic central Europe
c) India (Gupta Empire at its height, actually a though nut)
d) Cimmerian Bosporus and nearby areas
I think more or less in that order of likelyhood/prority.
This of course, provided that the various Balkan peoples of the Illyrian stock have been already disposed of.
As for Arabia, i'd say he'll try to control most if not all the coast, and the (almost) arable western strip. An hellenized Arabia could still produce something vaguely similar to Islam centuries after, but the similarities are likely to stop in assessing the Oneness and Trascendence of God, His Clemency and the Prophecy of his Envoy, and little or nothing more than this. And it's not granted in any case.
Nubia and what would become Aksum might provide diversions for the Argeads. However, I think that Philip would stop far before the Indus, leaving Eastern Iran more or less to itself, unless it threatens to become a basis for a possible achaemenid restoration, or if the Greek cities rebel (which is not so weird: Alex had to subdue them once again, they may see an opportunity while Philip is wandering through Media).
It may be an interesting TL to see.
Note: Alex in Italy would stumble right in the middle of the Samnite Wars.