There are countries in Europe that are not a member of the European Union. Eg: UK, Switzerland, Norway.
From what the OP said, they are from Russia, and studying in another eastern European country. (Russians (as well as plenty of non-Russians) have a tendency to go to Europe/UK/USA/Canada etc for higher studies I think.)
Russia is not a member of EU.
The eastern-European country the OP is studying in is probably a member of EU, and from there the person is trying to acquire an EU passport.
I'm guessing OP wasn't studying in Ukraine (which AFAIK isn't in EU), because then they'd have bigger problems at the moment than data science seeming like a waste. (By the way, I see unconfirmed reports that Ukraine has just been made a EU member. Like, today).
tl;dr: non-EU citizen trying to acquire EU citizenship.