Yes, Kalmykia, a small member of the Russian federation which borders the Caspian Sea.

The region of Kalmykia is unique in that it has been the home in successive periods to many major world religions and ideologies. Prehistoric paganism and shamanism gave way to Judaism with the Khazars. This was succeeded by Islam with the Alans while the Mongol hordes brought Tengriism, and the later Nogais were Muslim, before their replacement by the present-day Buddhist Oirats/Kalmyks.

The ancestors of the Kalmyks, the Oirats, migrated from the steppes of southern Siberia on the banks of the Irtysh River to the Lower Volga region about 1630. They were Buddhists and remained Buddhists after migrating to Europe.

With the annexation of the territory by the Russian Empire, Christianity arrived with Slavic settlers, but did not dominate. All religions were suppressed after the Russian Revolution, when Communism dominated. Shamanism has in all probability remained a constant, often hidden, substrate of folk-practice, as it is today.

Kalmykia is the only region in Europe in which Buddhism is the dominant religion.