Can I set up an iPhone 6 with an O2 SIM card in even if it's locked to EE?

I have recently purchased the iPhone 6 and I accidently placed an EE SIM card in before I set my phone up. Now it is locked to EE but I have an O2 SIM card in (it detects signal and 4G) but says it doesn't support the SIM that's in the phone. Is there a way round this? It is running the latest iOS.

(Assuming) If the phone was purchased full price from the Apple Store (unlocked) then putting in any SIM would not lock it to a specific carrier.

If it was purchased from a specific carrier store then it would be locked to that carrier.

You'd have to enquire about unlocking services in the area.

The phone was purchased UNLOCKED from a Phone Shop on contract. I just need to know if I can set my phone up with an O2 sim when locked to EE. As long as I can set my phone up that's all I'm asking.