The origin of the word Europa/Europe is unknown although it is from the Greeks. The word allegedly means wide or broad eyed. Which could mean it is the land for as far as the eye can see. But that's just an assumption. The Greeks are the one who first started using it to reference the land mass mainland Greece was part of distinct from Asia.

Europe to the Greeks wasn't the islands of the Aegean it was just the mainland. e

There is the story that it was based on the myth of Europa the Phoenician woman Zeus sduced and brought to the isle of Crete. Most attribute the name to her. But there isn't actually any strong evidence that this is the case. Although apparently some people were suggesting it far back because Herodotus considers and dismisses this origin.

Herodotus is skeptical that the name is derived from Europa. He points out that Europa was never brought to Europe. She was Phoenician (so "Asian") and was brought to Crete (which is an island not part of Europe). Herodotos 4.45.

However, Herodotus doesn't know where the word does come from and who started calling it that.