As I mentioned, you can do your training and testing anywhere in Europe as long as the FTO is JAA/EASA approved. You take your testraport to the UK authorities and they will issue you the UK CPL license (which is an EASA one)
Dont just believe me, contact the UK CAA and they will tell you exactly the same.
Check that your chosen school is a JAA/EASA approved FTO and your ready to go.