What does "Global EU" mean in the context of smartphone versions?

It's the ROM version installed on the phone indicating the region. Manufacturers ship different ROMs depending on the region. Someone living in Europe will have a different ROM than one living in Africa or Asia. You can even find difference in ROMs within a continent or region.

Usually with Xiaomi phones, you have the Global and China ROMs. Then (if I am not mistaken -- someone corrects me here), the Global versions is divided in EU, Russia, India, etc depending on the market. Global EU is just the ROM version for the EU market.