Read Section A8 of Lasors
Still amazes me the amount of misinformation that's thrown around.
JockyGB, please download a copy of Lasors from the CAA web site and read section A8.
You will see that it is possible to complete the theory exams, flight training and even medical in one JAA state and have a licence issue from another.
It depends on the states and their willingness to co-operate with one another.
Although you will receive some good advice on pprune, there's nothing better than doing your OWN research.
Good luck.