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.
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.
The one cent-coin.
Malta is the smallest member of the EU in terms of area, population, and GDP.
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