Yes, .eu is a ccTLD. "EU" appears in ISO 3166-1, a list of codes for countries and other geographical purposes, under the Exceptional Reservations category. TLDs in use on the basis of an entry on ISO 3166-1 are known as "country code top-level domains," even if the use of the word country is ambiguous or administratively incorrect.

For example, no one (well, perhaps we should say few) would argue that the United Kingdom of Great Britain and Northern Ireland is not a country, yet it operates ccTLD .uk which is not a country code assigned to a sovereign entity. GB is the country code for that country; UK is an exceptional reservation.