You have to do your sums carefully factoring in travel and accommodation costs by doing an FAA ATP. The conversion also needs to be costed carefully as, anecdotally, many people still need to do the full 30 hours CPL course anyway. You will have to do the ATPL theory exams in JAA-land.
It works for some; not for others. People training the modular route can also work while they are studying and hour building; others have commitments at home.
Cheers
Whirls