On premises data

The Power BI service has the UAE region as an option (see https://docs.microsoft.com/en-us/business-applications-release-notes/april19/business-intelligence/power-bi-service/additional-geos )

So you can set up your Power BI tenant in that region and there are settings to prevent data being moved outside the nominated region. Note this may restrict your access to some features, in particular Microsoft often releases new preview features using other cloud services (like various AI models) in the US first and then rolls them out to other regions once they are officially released.

Then you could have your reports on the cloud service and use a data gateway to load your on-prem data and everything would stay in the UAE.