As expected, they are a species of Ermine moth. Although not 100% certain, all the evidence points to them being Orchard Ermine (Yponomeuta padella). Identification by dissection and examining their ‘bits’ isn’t always conclusive so this assumption has been based on: the food plant, Blackthorn; the colour of the pupae; the lack of an all white celia as in Apple Ermine (Yponomeuta malinellus); and, the species most likely to be found in this part of Cornwall.
Disappointingly, we didn’t actually see the caterpillars. Any views, in agreement or otherwise, welcome.