Who should you target in Middle East ? Is it the locals or foreigners who travel from around the world to settle in countries like UAE, Saudia etc?

Well, typically depends on the nature of Product/service itself.

the main target should be locals because foreigners more concentrate on saving the money.
So locals should be primary targets that too lets justify the product first, what product is launching and how potential it will be in the market

By statistics it is GCC people

Locals, Settlers and the Tourists.

It depends on the nature of product/service, so a product may have the GCC nationals as a primary segment with the expatriates as a secondary service.

no matter either they are foreigners or locals the main concern should be ....
to whom the brand is made for , to which segment the brand is made, who are the users and what are the product features......
according to these aspects the brands are targeted.
BUT most of the times the most targeted people are locals and tourisms.

Actually it'll depend on the product and the service offered; ideally both, you never know who might become your customer.