Theoretically you can actually start the CPL course without having passed the theory exams. However you will not be able to sit the CPL Skills test until you can show the examiner a pass in all required theory exams (CPL or ATPL). So it is pointless starting training alongside the exams, you will lose out on the continuity and may cover the course a long time before you can go sit the test costing you a lot more money in the long run. Take one step at a time its usually the easiest and cheapest option.