mx4_2001,
Try contacting the Fujairah Aviation Centre. Have heard they are starting a new re-branding and will commence JAA CPL / ATPL courses this summer with european instructors and brand new Diamond DA40 & DA42 aircraft.
Don't have any idea about the price tag on courses but they are sure to be much cheaper than Europe. Contact the Director of Flight Training Nick O'Brien. He is currently ferrying the first of their aircraft back from europe so give it a week or so!
Believe that most of the UAE will be changing to JAA conformity soon.
Good Luck