Hi Mark!
Thanks for asking this good question. While there is no limit to how big a website can be, I think you can see from the general response here that most members would encourage you to stick to manually developing quality pages rather than automating hundreds of thousands of pages, solely for ranking purposes. I second this advice.
Now, I would like to clarify your business model. Are you a physical, actual business that customers come to, either to buy paintball equipment or to play paintball in a gallery? Or, is your business virtual, with no in person transactions? I'm not quite understanding this from your description.
If the former, I would certainly encourage you to develop a very strong, unique page for each of your physical locations. If you have 10 locations (with unique street addresses and phone numbers), then that would be 10 pages. If you've got 20 locations, that would be 20 pages, etc. But don't approach these with a 'just switch out the city name in the title tags' mindset. Make these pages as exceptional as possible. Tell stories, show off testimonials, share pictures and videos, entertain, educate, inspire. These city landing pages will be intimately linked into your whole Local SEM campaign, provided they each represent a business location with a unique dedicated street address and unique local area code phone number.
But, if you are considering simply building a page for every city in the UK, I just can't see justification for doing so. Ask yourself - what is the value?
There are business models (such as carpet cleaners, chimney sweeps, general contractors, etc.) that go to their clients' locations to serve and for which I would be advising that they create city landing pages for each of their service cities, but this would be extremely regional...not statewide or national or International. A carpet cleaner might serve 15 different towns and cities in his region, and I would encourage him to start gathering project notes and testimonials, videos and photos to begin developing a body of content important enough for him to start creating strong, interesting and unique pages for each of these cities. But I've also had local business owners tell me they want to cover every city in California, for instance, because they think it will help them to do so, and I discourage this.
Even if the business is virtual and doesn't have any in-person transactions with clients or physical locations, I would still discourage this blanketing-the-whole-nation-with-pages approach. A national retailer needs to build up its brand so that it becomes known and visible organically for its products rather than your theoretical approach of targeting every city in the nation. In short order, the mindset behind that approach just doesn't make good horse sense.
And, as others have stated, adding thousands of thin, potentially duplicate pages to any site could definitely have a very negative effect on rankings.
My advice is to make the time to start developing a content strategy for cities in which you have a legitimate presence. If budget means you can't hire a copywriter to help you with this and to speed up the work, accept that this project deserves all the time you can give it and that a slow development of exceptional pages is better than a fast automation of poor quality pages.
Hope this helps!