on the diplomacy front and in exploring the options. May would do well to draw on their input, as it may point to possible solutions and approaches that could be adapted to the rest of the UK as well.
Noises from Europe about the prospects for Scotland alone remaining within the EU have been surprisingly encouraging, despite media claims otherwise. See here for a roundup that Andrew Marr has described as "a really useful, indeed essential, piece":
Our Friends In Europa
If your only source of news was the mainstream media, you could be forgiven for thinking that the consensus in the EU regarding an independent Scotland was bleak. Spain would, were told endlessly, veto Scotlands place in the EU out of hand, and so, allegedly, would France.
And when Scotlands First Minister went to Brussels after the referendum vote to meet with EU officials in regards to Scotlands membership, we were told that this bold act of outreach fell on deaf ears.
The language of the press was hostile bordering on sadistic. The First Minister, acting to secure the democratic will of the people of Scotland, was apparently running out of friends and had to beg Ireland to help us out.
The reality, readers will be astonished to hear, is somewhat different.
http://wingsoverscotland.com/our-friends-in-europa/
To answer your question, I've not seen any serious discussion about the need for "SNP approval", no idea of veto for the whole UK as such. More a question of pointing out just how convoluted and un-thought through the whole ramifications are, and whether Scotland can or should be dragged out of the EU against the will of a majority of its voters.