As the rest said, you have to do it in the same country where you did your frozen ATPL theory, also check that you have 36 month to do that before the theory expires, the same for ME. Any ways check this link
http://easa.europa.eu/certification/.../JAR-FCL-1.pdf
Also you will not find any school in scandinavia that can be cheaper then UK, and the weather, is bad most of the times, you mencioned that you did your ATPL in Italy, check with the authority if you can go an do it there. There are thousands of places all over Europe to go cheaper then scandinavia, even paying with pounds.
99% that you have to do it in UK