You mention “foreign country” so I’m guessing you can have access to good curriculums without paying the US premium on education (or just go for an online course).
Pros: the time and money is not “wasted” as you actually pick up new skills; the MBA card should be enough to trump any education requirement; and you become that most desirable of hybrids: the tech/data guy who can talk business (or vice versa).
Cons: significant time (and money) investment; doesn’t help you get expert DS jobs (you’d be aiming for team/program manager, consultant, etc)
My own experience: completed an EMBA in 2017. Ranked in FT’s top 10, the program cost was around 50 k€ (it’s increased a bit since) and I was able to get 25 k€ of outside funding. The program I followed lasts 2.5 years, meaning I was able to do it while keeping my job (and having a kid) without losing my sanity or my wife. Landed my dream job just before completing the curriculum for a nice 40% pay increase (not saying the EMBA alone had that effect, far from it —but it definitely helped).