No, only the initial skill test has to be done in EU airspace. A revalidation may be done anywhere you can find an IRE. However, if it's a renewal, you will need an ATO to assess the need for refresher flying.
The ATPL skill test may be a problem - I'm not sure whether the UK CAA still requires them to be observed by an FOI. If so, it'll be cheaper to fly back to Blighty (twice).