OK, it is indeed a Scaphopod and a member of the Dentalium genus. Scaphopod shells were used by pre-historic cultures in the region (Natufians) for beads and they are also found in burials. They collected them in the Mediterranean and Red Sea, as well as from fossil deposits (Scaphopods have been around for 360My). The Natufian Red Sea shells belonged to the Dentalium reevei species complex. Likely that is what the one in my image is as well (but there are other similarly looking species in the Red Sea).
They live in the sand with the wide opening pointing down and feeding on diatoms and other small sand creatures. The other end has a much smaller opening (smaller than in the image, probably due to damage) and touches the surface of the sand.
- Tom_Kline likes this