If all the states you deal with are working to EASA rules you can do theory in State 1, CPL in State 2 and IR in State 3 if you wish, although it might take some 'managing'. Under the old JAA rules which still apply in most States, exams and CPL had to be done in one State but the IR, as a rating, could be completed in any JAA State. There are several good reasons why you might want to do this: cost, weather factor and simplicity (the IR test in the UK CAN be more difficult than in other States). Against that the quality of IR training in the UK is generally very high.