As "prince Ali" noted, the dance originated in East Africa more specifically Kenya & Somalia as both, in addition to Tanzania were formerly part of Sultanate of Oman around 4 centuries ago. After colonial conflicts with western powers Oman withdrew and thousands of Africans migrated to Oman territory at that period which included entire southern gulf in addition to current Oman borders (UAE, parts of Iran & Pakistan were under Omani sultanate rule). Those migrants settled in those places bringing with them this African dance & music which became popular.
The word "Malaya" itself is Arabic though , it means "Raised" or "High".
Another form of music brought to Arabia from Africa is also "Hubban" which is characterized by the use of pipes music and the dancers going around in circles. Hubban does not have the "immoral" parts found in Malaya that religious people object to & consider Haram.
What is Malaya in Arab? - Yahoo! Answers