Europa is another word for Europe. Both are used within the Girl Genius universe, more or less interchangeably, although "Europa" is perhaps a bit more formal.
Much of Europa falls within the Empire ruled by Baron Klaus Wulfenbach. He maintains the lands bounded roughly by the Rhine/Rhone/Saone river-courses on the west; the Alps and Adriatic Sea to the south, dipping down to include Lombardy and other lands north of the Po, and the port of Marseilles; the North and Baltic Seas to the north (does not include the Danish peninsula but stops at Holfung-Borzoi), and does not quite reach the Sea of Azov but does reach the Black Sea along the Bogdanian/Moldavian coast to the east, controlling most of the Danube delta.
Whether the British Isles should be included as part of Europa is something that nobody's been able to settle in any multiverse. They are, however, most definitely not within the sphere of Wulfenbach influence.
Europa is ruled locally by an assortment of minor and major nobles and royalty; under the Pax Transylvania, as long as they keep the peace, they may designate every Tuesday as Wear Underpants on Your Head Day if they wish. Outside of the empire, the British, Italians, French and others likely go about their businesses not dissimilarly to those countries in our world.
The religious nature of Europa is largely unknown, although a comment by Gilgamesh Wulfenbach suggests that schisms like the one which caused the Avignon Papacy in our world were significantly more common in Europa. Which only makes sense, really; when Sparks are around, sparks (and, for that matter, Sparks) tend to fly. See Religion for further details.