Do you want a name that sounds close to Europe (like Æropa, or Oyropa or something like that) or something that evokes an European feel without looking like a wordplay?
You could try to go the mythological route (Europa is the name of a woman loved by Zeus in Greek myth) or try a linguistic route. Pick a language, ancient or modern, and create a name with some meaning. (Most names have meaning, even if they are often forgotten.)
This was the route I took in developing my Earth-like campaign (link's in the sig). Europa kept it simple, and seemed to fit best with the naming styles used for the various nations (i.e. Gallia, Caledonia, Hybernia, Cymru, Albion, etc.)
IMC the quasi-western Europe was a large Island called Cruithne (apparently a Pict/Celt name for Caledonia) Cruithne had major areas (Countries and regions) called Alba, Cymru, the Tays (a river flood plan), the Fens, Thule and Nemed.