As well as getting a foreign license and converting, you can also get a UK JAR license abroad. See the CAA's website for a full list of approved schools (most schools are obviously in the UK, but there are a few in the US, Spain and South Africa off the top of my head, at which you can do some or all of the training).
Or you can train in any European country which has signed up to JAR and get a JAR license.
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