No, in fact it is not in any country. The Mediterranean Sea is Located between southern Europe and northern Africa and certain countries (such as Cyprus and Malta) lie entirely surrounded on all sides by the Mediterranean Sea.
Malta, and by the way this is considered cheating.
South of the European Continent and North of the African
Cyprus is an island nation located in the Mediterranean Sea. The Republic of Malta is a country that consists of an archipelago (group of islands), and it is also located in the Mediterranean Sea.
Mediterranean
Barcelona, Cagliari and Marseilles
The European Continent
Australia is a country located entirely in the Southern Hemisphere.
Italy is an example of a European country. A European country is a country that is located in the continent of Europe.
Bhutan
No as it is not located on the European continent. It is a North American country.
Malaysia is not a European country, it is located in Asia.