There is no such thing as a 'frozen ATPL' exam (or even a 'frozen ATPL'). The term 'Frozen ATPL' originated in UK/Europe and is nothing more than a convenient way to describe a person who holds a CPL, IR & all ATPL exams passed but has not yet had an ATPL issued. Usually that's because he or she does not yet meet one or more of the ATPL minimum experience requirements and/or has not met an ATPL issue flight test prerequisite but occassionally the person just may not have bothered even after meeting all the prerequisites.
If you have not yet passed the ATPL theory exam(s) then passing that exam would be what was meant. In your case, holding an FAA licence, you would need to sit the FAA ATPL exam (single multi-choice exam for each licence/rating/certificate in the FAA system, unlike many other jurisdictions). You would be able to take the written exam pretty much anywhere that is authorised to conduct FAA exams.
I think does a disservice to neophytes to use the term and is a bit shady on the part of flying schools. I've lost track of the number of people who think they will hold some sort of ATPL after they finish training at their flying school(s). That's just not the case. After ~150-300 hours flight time to get their CPL + IR the individual still has some 1200-1300 hrs or more to gain - including various mandatory sub-totals as well as passing some form of flight test/skill check - before he or she can even apply for the ATPL to be issued.
It's more correct to describe their qualification as a 'frozen CPL' because unless those additional requirements are met then the potential ATPL holder will *never* get an ATPL.