More like the lack of natural fuel that Europe is willing or able to use for itself.
Noticeable exception includes Norway with their gas fields, but it's not like Germany has huge swaths of oil ready to be used. Germany does have substantial coal, but it's been decreasing its use of it in exchange for alternatives it doesn't own the fuel for.
In other words, Europe pays more for energy because they have to import it. Importing it isn't factoring "externalities", as the extra money isn't going to anything except Russia or OPEC.
