This seller used to have Saturn RGB cables. I just got one at the end of last year. I don't see them listed anymore, though, which is kind of weird, but that was totally the way to go. I bought a cable made specifically for connecting an NTSC Saturn through Euro-SCART, and it even had breakout audio connectors.
I'd email that person and ask them about making more. They make great cables, and everything ships from within the US. Keep in mind that PAL and NTSC Saturns don't have the exact same pinouts, so you can't expect to use an unmodified Euro-SCART cable on a US Saturn.