You should not have to do a CPL first. EASA regulations are quite specific in this respect and if a NAA tells you that you need to do a CPL/IR first ask for the reference number of the Acceptable Means of Compliance filed with EASA. If a training organisation tells you this, run for the hils as it sounds like a cash making scam.
The theoretical knowledge exams are transferable between countries - the only restriction is that you must take the exams in which you studied or at least be signed off by a local training provider to take the exams in that country. However, as an ICAO Annex 1 ATPL holder you do not need to study or register with a training provider for the exams, you can self-certify to sit the examinations.
The State of Licence Issue (SOLI) will be the country which issued your EASA Class 1 medical.
Probably the best country to do this is the UK - they may gold plate everything up the ying yang but they do tend to do things properly, unlike several other states. Simply transfer your medical from whichever MM EASA state you're currently registered with to the UK, get all of your exam paperwork certified by that state then apply to take the combined ATPL/IR skill test in the UK (or wherever is convenient for you, provided they have an EASA certified sim and examiner).
Qualifying criteria for taking the ATPL skill test is that you must fulfil all requirements for ATPL issue before taking the test, i.e. EASA Class 1 medical (current and valid), 1500 hrs TT, 500 hrs MPA, plus a load of other qualifying experience criteria which you can check in UK CAP 804 (free pdf download), current and valid Type Rating on EASA recognised (CS25) MPA - note that some aircraft types recognised as MPA in some ICAO states are classified as SPA in EASA land, e.g. King Air, Beech 1900, Cessna 500 series, although some will be accepted in certain EASA states as MPA if it can be demonstrated that the experience gained on these types was as MPA and certified as such on an AOC. I have known of ATPL's issued on a King Air operated as MPA on an AOC.
Hope that's of some use.
