I am looking for a PhD in Europe related with open data. Do you know any university that works with this sector?
The Open University and the University of Southampton definitely have their hands in open data. For more concrete ideas you'd have to look at the appropriate department (e.g. Computer Science) and find a supervisor.
The Data and Web Science Group at the University of Mannheim does a lot of work with open data.
I found a portal that lists PhD topics, coincidentally called "find a phd"
https://www.findaphd.com/phds/?Keywords=%22open+data%22
returns these 3 PhD programs (2019-03-12):
University of East Anglia, School of Environmental Sciences
University of Bath, Centre for Accountable, Responsible and Transparent AI
Northumbria University, Faculty of Business and Law
By tweaking the search, for example "Linked Data", you might find others