I am lost in my career

Just a bit of my background here:

1) I grew up in a third world country and studied there (got my MSc and BA in finance from the university which most of people never heard of)
2) I have done several traineeships both at home and abroad:
- in my country (audit dep. at big 4, corporate finance dep. in a small investment boutique,etc.)
- in Canada not really related to finance. Was more a chance for me to improve my English
- in Luxembourg (was at the EIB (development banking) for one year. Only 4 people out of 5 countries were selected to do this traineeship. I was in a MO and was mainly doing credit analysis and analyzing regulatory, market environment,etc in order to assign a rating for a borrower)
3) Currently I am working for more than a year already in another European country mainly dealing with the regulatory reporting in the Financial industry. However my job involves 80% of IT and 20% of business related matters.
4) I passed CFA level 1 and registered for the Level II.

Limitations I have:
1) I can't do any traineeships as I will need different permits as I am not form the EU. No company will want to do that permits for the trainee (tried this already).

I am in my mid twenties and I tried to get into CRAs, big 4 (advisory), commercial banks and development banks (i.e. EBRD) however didn't get any offers so far. Had some interviews though with CRAs, the EBRD, big 4 and got to the last round with the S&P recently.

I understand that there are millions of dudes like me and I am not targeting top tier banks IBD..

I am really interested in getting into the PE, AM (hope CFA will help here) or potentially corporate finance and strategy. Alternatively, I am considering to get into the CRAs or big 4 advisory departments, in order to get some relevant skills. However, at this stage I find it almost impossible to get an offer for the entry position (based on my application and interview experience during the last 0.5-1 year).

As I have almost no relevant experience and is limited with regard to doing traineeships I am considering (in 2-3 years, after completing a CFA) to do an MBA in one of the top schools. Do you think it makes sense?
Or after having 4-5 years of experience in the Regulatory reporting (80% IT and 20% business matters), even having CFA ana MBA from one of the top schools it will almost impossible to make such a switch in my career? Potentially I will also be 30 until that time an this makes things even more difficult..