There might be a sort of funding if you enrol in an aviation related program at the uni. This happens in the USA but I don't know in Europe.
BBVA is a bank that have a loan for pilots but I heard it is not a big deal. And you also need to have a property in the UK (I heard also Spain may be fine).
Try to ask a help to your local bank. I have the luck that the director of my local bank assured me he will give a help if I ever need.
As for taxes, I don't think it is possible. There's a school in Greece that will not charge VAT as long as you continue your training towards a CPL
I don't know if this is very common or not.
Maybe if you were an airline that wants to train its own cadet it would be different.