gipilot; you don't give enough information. If you do not live in the UK you will get a 'no-tax' code, which means that tax will not be deducted at source. For this to apply you must spend no more than 90 days in the UK.
If CX establish a company in the UK, then you may be liable for National Insurance, which, on an FOs salary, would be around GBP350 per month. If you are a Finnish national, you may be exempt from the latter.
There are lots of good reasons not to start a company in the UK and it baffles me that CX are even thinking about it. There are other less expensive options for overseas companies.