Frustrated with rejections. Should I change my target location?

Hi everyone. I've been getting lots and lots of rejections over the past months, and it's really frustrating. I understand that rejection is part of the game, but I didn't expect it'd be this bad. One HR employee from BofA contacted me and said they're having a problem hiring international students, and that I'm still under consideration. I'm an international student in a top European school. I was applying to London and am failing. I have a fairly good profile, nothing exceptional, but good experience & certifications, aside from the school's name.

Now that I an idea that could explain why I'm getting rejected (being international) I'm thinking about applying for a different location. I have family in the middle east who could sponsor me. I speak the language too. Should I shift my location target to there? MS have an internship there and am tempted to apply for this reason, but am not sure if there's going to be much difference.

Appreciate any advice.