Hi,
Did you try the big consulting companies like Accenture and alike? They usually don't give a damn about where you are coming from as long as you do the job. A potential problem (in europe) could be mastering the local language.
As another response pointed it, going to a grad scholl could be an option to get a visa and would let you see if you could adapt to the local culture of the place before you emigrate.
In Norway, where I am living there is a big need for qualified people, speaking the language is not necessary a must. look at Opera for example they often have opennings and a very international staff... Average temparature might be a bit lower than in Dubai :-)
education is inexpansive in Norway (but living is).
Good luck in your quest.
Dom