I will share my experience as a recent hire from MBB Dubai.
Funny enough, 2 years ago I applied straight from my Ph.D. to MBB Dubai, being rejected immediately after.
In my experience from friends, applying in Dubai straight out colleague without a real work experience can be quite difficult. I had several friends applying after MBA in a good school and receiving the feedback that they lacked experience.
In my opinion you have 3 options:
1) Do a master program in a target school. I know Europeans that did a master (not MBA) from a target school, applied to an internship and received a returning offer from MBB Dubai
2) Start in a 2 tier consulting firm. This was my path. I did roughly 18 months in a tier 2 consulting firm. even got promoted in the process and once I applied every top consulting firm wanted to interview me. I got multiple offers.
3) Go to the industry and apply in some time. I have a personal friend that spent some years working in an energy company and then applied to MBB and got in.
It all depends on the criteria you set for yourself (timing, skills, risk profile, ...)
Hope this helps!