No! "The" is not correct in english, unless you want to imply that the city is unique in being european.
Another case where it is natural to use "the" is to add to the sentence with a specification. For example you can say "Warsaw is the european city with the tallest trees." Without this specification however, you should use "a/an" not "the".
@Jellei That seems a bit hasty to delete the version with "the". There are other contexts where "the" is possible that madgregor hasn't considered. For instance you could be presented with a list of cities from around the world with only one in Europe and have to pick which one it is. The version with "the" should definitely be accepted like before.
Eventhough its starte with E, but the pronounciation started with 'j' , so its treated as a consonant, which means the answer is 'a European'. The opposite case is the word 'hour', its started with consonant 'h' but its pronounced as 'our' (without 'h') so its treated as vocal thats why it will be 'an hour'. ;)