This is very common, and I've helped some candidates in the same situation with McKinsey last year; they were offered KSA and managed to push successfully for Dubai.
My tip is this: If the decision is still open, focus on getting the offer first! Once you have that in the bag, you should communicate your preference clearly with HR. Don't shy back from making yourself disagreeable, but always stay friendly of course. This is textbook “Personal Impact”, one of McKinsey's PEI dimensions, which is a key consulting skill.
Please feel free to get in touch if you need more specific help!