I'm sure there was one that was set up a few months ago that was baed in the UK.
There's also coinfloor but haven't used it so not sure if its what you're after:
https://coinfloor.co.uk/Lazycoins made a fair bit of noise about having UK banking but I haven't heard much else. They all start off saying 'we have banking. No, really' and then it's gone within a few weeks.
Coinfloor's account is in the EU so you have to dick around with wires and so on. You may as well use Kraken or Bitstamp.
I like Lakebtc's idea but those who volunteer to be bankers will be shut down just as quickly as any exchange.