There is no rule that tells you what direct objects you can place after the verb travel.
The two examples you give are both common. After that it's a question of how familiar the object (of travel) will sound. While you can safely say that you travelled a continent, it becomes less obvious that you can travel a country (depending on its size) or a region or an area. You can't really travel a city, however big. For example, to say that I travelled New York would sound distinctly odd. This isn't about grammar, it's about the colloquial use of language.
To answer your particular question, travelling Europe or travelling around Europe both sound fine although the nuances might differ.