you do have to do your cpl in the state that you did your ATPLs, , but you can do your ratings in any JAA state, regardless of where you did your cpl.
In theory you can do your atpls and cpl in different jaa states, but in reality, not many caa authoritys let you do this.
Hey ho, flight training, the most disjointed , unpredictablre proccess i have ever gone through!!