I understand that “Celtic” is a broad and ambiguous term, but here I am speaking of languages commonly classed as Celtic specifically. Was there a common term with descendants across many different Celtic languages to denote the lands north of the Mediterranean Sea before the Roman conquest?
Did the “Celts” even have a notion of these lands separate from the rest of the world? Or even a concept akin to a “continent” that was common to many of their languages? Or did this idea not arrive until the Roman conquests?
One possible candidate for such a word is Proto-Celtic *Litawjā, which comes down to us as Welsh Llydaw "Brittany; the continent", Old Breton Letau 'Brittany' and Middle Irish Letha "Armoric Gaul, Brittany". The word comes from the Proto-Celtic adjective *litawī 'broad' (cf. Welsh llydan 'wide'), the Indo-European root of which (*plth2u- 'broad') appears to have had a secondary sense to denote the earth, seen in Sanskrit pṛthivī- 'earth'. There was a Gaulish goddess known as Litaui, recorded in inscriptions from eastern France and Narbonne, who derives her name from the same word. Her divine domain and associations are unclear, but she is probably related to the eponymous Vedic earth goddess Pṛthvī. We also find the Gaulish personal name Litavicos, which may mean something like 'ruler of the land' (cf. Welsh gwledig 'sovereign' < gwlad 'country'). In the case of the Celtic words the semantic development appears to have been from 'broad one' > 'earth' > 'continent' then in an Insular Celtic context becoming 'that part of the continent facing the British Isles' > 'Armorica/Brittany'. For discussions see Matasovic, R. Etymological Dictionary of Proto-Celtic (Leiden, 2009), p135. and Koch, JT Celtic Culture: A Historical Encyclopedia, (2006) p1159.
It is worth bearing in mind, however, that our understanding of the pre-Roman Celtic worldview is extremely limited. Much of what we know comes from Classical sources, external to the 'Celtic' culture, and later inscriptions which are limited in both their physical extent and their subject matter (usually being religious or funerary dedications). It is impossible to know whether the Celts as a whole had a concept of Europe as distinct from other parts of the world, or whether they even had a good enough knowledge of the wider world to develop such an idea. The concept of Europe as we know it developed from a more limited sense in Greece by the 6th century BC (by which time the Celtic speakers were already spread across a wide area of Central and Western Europe), and the idea grew out of a good knowledge of Old World geography. The semantics of the word *Litawjā/Litawī evidently changed over time and had different meanings to different groups of Celtic speakers. We do not know whether the word existed in Iberia or Galatia and, if it did, what it meant.