Flight training in different European countries
It is very much possible to transfer the ATPL theory to another country within Europe.
If holding a PPL + ATPL theory and wanting to obtain a CPL, the ATPL theory must be transfered to the country where the training is performed. This will now be your license issuing state.
If holding a CPL and an IR is desired, you do not normally need to change license isuing state even though you are performing the training in a different country.
Flight training is cheaper in Sweden than in the UK. Norway and Finland is fairly expensive. Iceland is unknown territory.