ICAO ATPL is just alluding to the fact that the authority who they wish you to have acquired your fATPL from should be in an ICAO State (i.e. not Tuvalu?!) ICAO does not itself issue licences.
In the UAE you can sit GCAA exams, there are some JAA approved schools. Not sure about FAA etc.
Also if you go the JAA/GCAA route you should know there are 14 exams not 1.
I'd suggest you go and read some info in the wannabe (I hate that term) forums where there are plenty of "stickies" on the subject, to give yourself a better idea of what is required.