In TTR Europe, can you put a station in a city that's not connected to one of your claimed routes
No, you do not have to have a route of your own linking to a station you build.  From the rules here


  Stations may be built on any unoccupied city, even if it currently has no claimed routes into it. Two players may never build a Station in the same city.


There is no requirement to link to your own route because there is no requirement for any route to be in that city when the route is built.

The purpose of building stations is to use other players routes, so claiming Edinburgh when London has a station and the London-Edinburgh route has been claimed then it makes total sense.