Hi jerezflyer
If you train with your name sake in Jerez it's no problem. They're basically a UK FTO in Spain. This wouldn't save you much money though.
Another option is to do the ATPL exams in the UK and get written permission from the UK CAA to complete your training in another JAA state. The chances of this happening are sooo slim it's hard to imagine.
Option 3 is to do the ATPL exams in the UK and do the CPL in the UK. The expensive IR can be done in any JAA state.
Option 4 is to do the ATPL exams in the UK and do the CPL in a UK CAA FTO abroad, say Florida, and then the IR in Spain ir the UK. You can't do the IR outside of Europe.
Hope this helps. I'm still running around like a headless chicken trying to decide.