It depends on what your definition of 'city' is.
At various times a 'city' could mean a walled defended settlement, a town with a cathedral, a town over a certain size, etc.
The smallest city in the European Union is Vaduz, the capital of Liechtenstein. It has a population of approximately 5,450 people and covers an area of only 17.3 square kilometers.
Vatican City is the least populated country in Europe, and the world, with 832 people.
Malta is the smallest and least populous of the European Union countries.
Malta and Luxembourg
The southern most city in the European Union is Gavdos, Greece.
Malta is the smallest member of the EU in terms of area, population, and GDP.
The one cent-coin.
The headquarters of the European Union is in Brussels, the capital city of Belgium.
The European Union headquarters are in Brussels, in Belgium.
Brussels.
The Vatican City.
Vatian city is part of the European union.
That would be Vatican City