A problem with this is that "Nation" is a pretty modern concept and that a lot of territory has changed hands even within the time period where "nationality" is relevant. Even the definition of countries is problematic. What is the best way to count successor and predecessor states? (For instance, the Austria of today is very different from the Austria of the 1700s, which was in turn very different from the Austria of the 1500s)

But to answer your question, I would say that there are not any existing european countries (or nations for that matter) that have not lost a war.