R125
This question gets asked so often and my answer is always the same - Where do you want to fly once you qualify? If you want to fly in the US, train there - If you want to fly in Europe - learn here! Many people have gone through the mill and so much depends on which flying school you choose. My advice would be go and visit some helicopter schools in the UK and talk to the instructors there. Then try and find some people who have been and trained in the US and hear their experiences.
Remember to assess the advice you get carefully and don't get taken in by promises - companies will often promise everything to encourage you to train with them but jobs are never guaranteed and only a few will get job offers.
The worst scenario is if you sell up everything to go to the US and then run out of money before you finish. The main thing to remember is that whatever you are quoted for training in the US will be optimistic and there will be usually be hidden extras. It may appear to be cheaper in the US but you need to add tax (on everything you spend there), the costs of accommodation, transport, flights and licence conversions which you might not necessarily have to pay if you train at home. That lot evens up the balance sheet considerably. You also have the opportunity to work here whilst you train which may not be possible under your US visa.
I wish you the very best - most of us once stood where you are now and we appreciate your conundrum!