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I think you missed the joke

Europe isn't even a continent and has no real definition (none that would make any sense, anyway), so the whole thing is confusing by design

If Europe isn’t a continent, on what continent are the EU member states sitting on?

Eurasia is the widely accepted answer.

Isn't London on an island, mr. Pedantic?

So I guess Japan isn't Asian then?

While Japan is part of Asia, and Asia is a continent, Japan is also separated from the Asian continent: https://en.wikipedia.org/wiki/Geography_of_Japan#Location

What's more interesting is that the comment you are replying to mistakenly asked me instead of asking the parent.

I honestly think it is. The amount of people who thinks Europe and EU are the same thing is really concerning.

And no, it's not only americans. I keep hearing this thing from people living in Europe as well (or better, in the EU). I also very often hear phrases like "Switzerland is not in Europe" to indicate that the country is not part of the European Union.

Switzerland has such close ties to the EU that I would consider them half in.