Sahara. The Sahara is the great desert; the default desert. Albrecht Penck considered this place and observed that it 'lacked a loess girdle' no significant deposits of loess around the Sahara. Maybe a few modest possible deposits, but no great deposits. Plenty of dust produced in the Sahara and North African regions; huge amounts of dust from old lake beds- but this was all 'critters & clay' not loess material. It appeared as though the Sahara did not contain a loess making mechanism; there were no natural processes operating in the great desert that produced the sort of material that made loess deposits.
Australia. Bruce Butler, the scion of CSIRO pedologists, wandered the deserts of Australia all his life; he reported a remarkable absence of loess- he suggested that desert loess was just a myth, a fairy story. People have looked since BB time but the great loess deposits have failed to appear. There are a few modest possible deposits- places for the Rainbow bird to nest- but no great loess. A large desert continent- but lacking in loess deposits.
Central Asia. There are deserts in Central Asia, and there is loess. Now- how is it possible to have deserts & Loess in Central Asia- and what is the connection? The connection is part of a larger connection; the region also has high mountains (the western end of High Asia) and large rivers (Syr-Darya, Amu-Darya). Put all together and we can make a loess system. Loess material does accumulate in the deserts of Central Asia but it is made in the mountains and delivered by rivers. The deserts are loess material reservoirs, stuff is blown out of the deserts and forms loess deposits. Andrei Dodonov worked this out; G.A.Mavlyanov got close but could not quite reach the last stages. It was hard for Soviet scholars to actually embrace aeolian deposition.
China. The Sahara is the mighty desert but the Chinese loess lands are the great loess landscapes. Tom Stevens has been looking at zircons and can tell us now how loess material was made in the mountains of High Asia and delivered via the Yellow River to the loesslands. Sun Ji-min has been following in the footsteps of Liu Tung-sheng and demonstrating the marvels of the Chinese loess. The Chinese loess is like the Central Asian loess; mountains and rivers are involved. Loess material is made in high cold mountains. We now realise just how many mountain glaciers were/are in High Asia. Glaciers make loess material, as John Hardcastle observed in Timaru 127 years ago.
Postscript- Mars. Another desert, a real desert. Some particulates blowing around; but it all looks a bit Sahara-like. The machines are wandering about, mechanical Martian versions of Bruce Butler, but they are not finding spectacular loess deposits. Can this entire planet lack loess deposits? Is there no mechanism to produce loess material that ever operated on Mars? It would seem not. Pity.