Filming of local women is strictly prohibited
Since Dubai is a Muslim state and it follows strict Muslim laws. The laws and culture of this place is quite different from the West and other democratic nations. You are not allowed to make films of local women unless they have permitted you to do so.
Note: There are some renowned model agencies where you can hire a model and put her in abaya.
Filming of alcohol is not allowed
Although alcohol is freely available in most of the Dubai’s hotels, restaurants, bars and nightclubs, but you are not allowed to film while people drinking it, or anything related to this unless expressly permitted.
No filming without permission
You need to have filming permissions for UAE to shoot any movie, short film, documentary, drama or any art movie etc.
Besides that you also have to take permission from local authorities to make films in order to avoid any inconvenience. For instance if you want to shoot on Metro, you must take permission from the Transport Authority. Similarly, if you want to shoot in a mall, you must obtain permissions from the Mall administration before filming.