@Nicolaj: Did you activate roaming on your MyEE a/c before you left? Presumably not. Having a roaming allowance does not auto enable it. You may still be able to in your online a/c under Manage Devices. If not, you will need to call EE. Use the landline nos. in my sig.
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To phone EE: The local rate landline number +44 207 362 0200 or Freephone +44 800 079 8586 - Option 1 for Mobiles; Option 2 for 4G WiFi; Option 3 for Home Broadband & EE TV.
ISPs: 1999: Freeserve 48K Dial-Up => 2005: Wanadoo 1 Meg BB => 2007: Orange 2 Meg BB => 2008: Orange 8 Meg LLU => 2010: Orange 16 Meg LLU => 2011: Orange 20 Meg WBC => 2014: EE 20 Meg WBC