I don't do "correct", but I would normally use "impact on".
Any other preposition I would interpret as an adjunct, not a complement (i.e. not part of the meaning of "impact", but saying something about the where, the when or the how).
So I would interpret "a great impact in Dubai" as "a great impact on something obvious from context, in Dubai".
The only like case I can think of for "impact to" would be something like "have a great impact to new arrivals", meaning "have a great impact on something unspecified, as perceived by new arrivals".
Edit: it occurs to me that "impact" now has a separate meaning that doesn't require a complement at all. So "make a great impact in Dubai" is perhaps an example of this: the "in Dubai" is still an adjunct. "Make a great impact on Dubai" would says that it is somehow changing Dubai or its people.