Subang Airport, KL
SZB has the greatest number of flying clubs in Malaysia and is quick and easy to get to from SIN by Firefly.
The main advantage of flying in MY is that you have a lot more places to go, SIN is obviously limited as cross border flights are a bit of a pain as far as I can see.
Your problem in obtaining a MY Student Pilot licence (or converting your current licence) would be that the DCA would want to see a valid work permit. Not sure if there is an easy way around that...
Life is a lot easier if you have an FAA licence as it is possible to locate N reg aircraft (both in SIN and MY).
Good Luck