Under EASA you can do the theory in one state and the CPL in another.
The full theory (groundschool + exams) has to be done in one state but you are free to choose any other member state to do the practical training. Even the CPL test can be done in any member state while the authority where you hold your medical class 1 will issue you the license. For example, you do the ATPL theory in the UK (exams included), then you go to Poland to do the IR and CPL training and test, after which the UK CAA will issue you the CPL license with the IR (as long as you have a UK medical class 1). In this way you can safe a lot of money as training in Eastern Europe is generally half the cost of UK training, while you will still obtain a UK qualification.