Straight from the horses mouth (i.e. a quick google search and the BCG website):
"Our client base includes companies and organizations from a wide range of industries including financial services, consumer goods, travel and tourism, health care, energy, industrial goods, private equity, media, telecommunications, and the public sector."
Based on my experience, I would recommend you focus particularly on the public sector and energy. Now, the Middle East is large so I highly recommend you tell us your office (or google on your office). If it's Dubai, of course you'll have more tourism/consumer goods work, if it's Riyadh you'll have more public sector, etc. etc.