I hope you have got out of there. The police and embassy woud be useless, I have friends out there and lived in the middle east myself. Do your dc have British passports? You need copies of salary statements, bank statements, will, anything like that. Or just take the original. Get a copy of his passport to, in case he threatens to follow you to the uk and get the dc/ finish you off. You can hand it to the police in the uk if he threatens you.
Was hs friend there when he threatened you or did you call him as you were worried about your dh? The fact he had a knife hidden shows he gave it some thought, was he drinking heavily to build up courage to do it? Next time might be easier.
Am amazed you let him in. Today, take dc out, and stay in a hotel with wifi for your own safety plus lots of people about. Do not tell him where as ou know saff would let any maniac up if he says hes your husband. If you have online access to accounts then move money fast.Email or call parents or someone in the uk. Are your dc school age? It won't be dreadful if they miss a bit of school. Better than missing you for good.
Suspect he may have someone else and realises if you split up you get the dc, lots of money and he sees your removal as solving all his problems. Do not be alone with him again, and seeing as dc being in the house doesn't stop him, a maid won't either.
Stay with your parents til you decide where you want to live in the uk, pending where they live and if you like the area, can work there, etc.
As for the embarresmnt , it could be worse behind their doors. And it's better to be alive than a bit redfaced.
Hope your ok?