Goals for Romarinho, Abderrazzaq Hamed Allah and Muhannad Al Shanqiti saw Al Ittihad, coached by former Wolves and Tottenham boss Nuno Espirito Santo, set up a showdown with Al-Fayha in Riyadh.
Ronaldo played the entire match on Friday (AEDT), coming close to an equaliser in the first half when he headed straight at Al Ittihad goalkeeper Marcelo Grohe.
Al Ittihad compounded his frustrations by racing down the other end to make it 2-0, though Talisca pulled one back for Al Nassr after the break.
Ronaldo drilled a free-kick just over prior to Talisca's strike, yet despite piling on the pressure, Al Nassr were opened up again late on, with Al Shanqiti sealing Al Ittihad's progression.
It means Ronaldo's wait for a first official goal in Saudi Arabia will stretch into a third match.