My advice would be to do your training in whatever country/aviation authority that you think that you will end up working in.
If you’ve got a right to work in the USA (and intend living there), get an FAA licence. If you’ve got a European passport but only speak English, I would do your training in the UK. If you speak a European language, consider training in France/Italy/Germany etc* (*delete where applicable).
It might cost you slightly more initially but it will be worth it in the medium to long term. A commercial licence is more than just a piece of paper. Not only will you be more familiar with your future working environment, but your network for future jobs will also be much more developed.