There are schools in the US that provide distance learning for the JAA exams - they are all approved by the UK CAA. This means that the UK will be the 'State of Licence Issue'.
However, there is no advantage in using these US based schools for distance learning over, say, BGS or OAT except when it comes to the residential portion of the course, when you would only have to travel to Florida instead of Bristol or Oxford, for example. The examinations can be taken either in the UK or the US, irrespective of where the school is based.
It all comes down to a matter of training value versus cost. The likes of Bristol and Oxford are the acknowledged experts in the field, the lower cost options may turn out to be more expensive in the long run if you have to keep paying out for resits.