Depends. Wales is your best bet.
It all depends on your definition of the word "country". The United Nations, Wikipedia, and the CIA don't list anycountries starting with W, let alone in Europe. Western Sahara, West Bank and Wallis & Futuna show up occasionally, but only as territories or claims of other countries (Morocco, Israel, and France respectively), and none of them are in Europe anyway.
Wales usually falls under this bracket of a territory/state division of a country, in this case the United Kingdom. England, Scotland, Northern Ireland and Wales are technically classified as countries themselves, but within the country of the United Kingdom. So if Wales is a country, it's part of Another Country.
With its own team in the FIFA World Cup, the Commonwealth Games and Olympic Games, you can probably get away with calling Wales a country. It is in Europe, and it does start with W.
Kenya, Korea, Kashmir, Kuwait, Kampuchea
Yemen is in Asia. It is the only country that begins with the letter Y.
Watermelon, wheat and watercress are plants that start with W.
There are no countries that start with the letter "W"
Only W
one
china
Hungaria
there are 254
Mexico
none.
There are no places in Mexico (besides streets, that is) which start with the letter 'W'.