I am swedish, I can apply for visa anywhere
To study maybe but for work after you are qualified you can't. You need to factor in the conversion costs and with only the experience needed to gain a license overseas you would be very foolish to think you can convert it to an EASA CPL and IR in the minimum required time. You also still need to pass all the EASA ground exams.
Find somewhere to get an EASA license as you will find it very hard if you don't and cost will be about the same in the end.
Integrated zero to frozen ATPL
You can work part time whilst doing the course also, something you can not do if you study overseas (outside EU).
The above is just an example of a lower priced European option.