The US requires its (tax) residents to report foreign accounts if the balances (on all the accounts together) are $10K or more at any given day during the year. This is done through the FBAR system.
In addition, you obviously need to report this income on your US tax return and pay taxes. If the balances on your foreign accounts exceed specific threshold, your tax return should also include form 8938.
If you report everything and pay the taxes due - you can keep the money wherever you want and transfer it between your accounts as you may see fit. If you don't - the US government may come after you with huge penalties, and the Dubai bank may freeze your account.
Its easy to become US tax resident. Stay in the US for more than half a year in a row - and here you are. Subject to the US taxation. Even if you're not a US citizen or green card holder, or at all illegal. Some immigration statuses may grant you an exemption, but none that allows you working for your Dubai employer, so I'm assuming you're a US tax resident.