It is στην Ευρώπη, which is the definite article denoting location: σε+την = στην. So it is really like saying 'in the Europe', exactly as you would expect to see the definite article in 'η Αγγλία'.
Of course, στην Ευρώπη is the accusative, unlike the subject of the phrase.
Additionally, you will only seethe location particle +article compound in the accusative.
England may have opted to leave the European Union but it is still physically/geographically in Europe.