Sit down with a pen & paper. Work out:
(a) How much will it cost to go from zero to frozen JAA ATPL, training in the UK?
(b) How much will it cost to get NZ CPL/MEIR and then return to UK to 'convert'?
If (b) is less than (a) then wahey, have a nice holiday in NZ.
Flight training is roughly a third to a half of the cost compared to the UK, even after you take into account the exchange rate. £4000 is way too much for an instructor rating - are you sure it's not NZ$4000? I did mine about 6 years ago for approx $5000.
With the addition of the full IR course in ICAO to JAR-FCL conversion, an option is that you may want to find a school out there who will do just the CPL & instructors rating, then after conversion to JAR CPL & FI, do the IR here in the UK.
Also take into account that your living expenses will be next to nothing compared to the UK also while training, you could do worse than start your flight training there.
Hope that helps, H&H