Surely any ICAO State!
Depends on the context.
Any ICAO PPL will be accepted as entry to the CPL course/exams. But not any ICAO PPL will be accepted by default to fly in any JAA member states airspace, in a JAA member state registered aircraft. Can't fly a PH-registered plane on a PPL issued by the Botswana authorities, for instance.
Yes, I know the UK allows holders of an FAA PPL to fly a G-reg in UK airspace, but that sort of thing is the exception more than the norm.
So if the OP wants to train/hour build for his CPL (read: act as PIC) in a JAA state, on aircraft registered in a JAA state, he'll specifically need a JAR-FCL compliant PPL issued by one of the JAA member states. Not just any ICAO PPL. although there are ways to get a non-JAA ICAO PPL rendered valid.