Unfortunatly they probably have you over a barrel the only advice that I can give you is not to throw good money after bad in hopeless legal actions.
You may have some chance of recovering the money if you paid with a credit card
Probably the best and cheapest weapon that you have is to tell your story on these forums. This might just encourage them that for the sake of future business it is best to reach an agreement with you.
It would be interesting to know how much the loss of this money has increased the hourly rate of your training and this should be a tale of caution to those who think that flying abroad is allways cheaper.