As JSD noted you can do this although it won't necessarily be that easy. You cannot buy an extra segment in your continent of origin. Why not end your trip in DXB rather than CAI as that should be easier to accomplish and, IMHO, it's a nicer place.

Edited to add -

If you are traveling eastbound, you could do DXB-HKG rather than returning to LHR. This would let you do LHR-CAI at the end of your trip.

[This message has been edited by ExMo (edited Dec 22, 2003).]