I don't believe this will work, as you are using RIM servers and App World goes directly thru those servers and is not web based, so I don't think a VPN will help. Plus I'm not sure a VPN would even work on a BB, through the BB browser or any 3rd party browser, BUT I'm not sure. Perhaps others know?
Your connection to the BIS is a VPN. It is encrypted to the BIS and not encrypted when it goes out to the Internet. Only way to accomplish what you want to do is to buy a BB and a SIM from a US provider and use it there, then you will have a VPN to either AT&T or T-Mobile's BIS, and UAE won't be able to see your data.