Does any of you know if a particular european country would be cheaper to go the conversion training?
Not particularly, but I would suggest checking out prices at 3 or 4 in each country to get an idea. Poland/Hungary/Czech Rep are well known as being reasonably priced for fixed wing training but I'm not sure how that translates into rotary.
Also once the EASA CPL-H is obtained in one country Im guessing the process of transferring it to another european country would be pretty straight forward?
Yeah it's just a paperwork/money exercise to change SOLI - state of licence issue, which has to be the one holding your medical records, so you can only hold one EASA licence at a time. UK has a question mark over it at the moment due to Brexit, but all the rest are viable.
I havent done any of the theory training yet either so recommendations on where to do EASA ATPL-H as well as the flight training (in a R22 to keep costs down) would be greatly appreciated.
I assume by EASA ATPL-H you mean theory? You haven't mentioned what experience you have, and what you're ultimately trying to achieve. For example if you don't have 350 hours multi crew time you can't hold an ATPL right off the bat, and you'll be getting a CPL. Since you already hold a CPL (H) you can just take the CPL exams - or do a full course to take the ATPL exams ($$$$) - if you don't plan on flying multi crew or getting an IR within 3 years of taking the exams there's no point in doing the ATPLs.
The advice you get as a current 206 driver will be completely different to an S92 driver!
First step should be get an initial EASA class one medical, then tackle the theory. Expect the theory to take at least 6-12 months!