Is it obligatory for the questioner to bring his pregnant wife to live with him in Europe so she can give birth there, or should he keep her in her home country with his parents, taking into consideration his desire to return to live in a Muslim society, and his parents' mistreatment of his wife?

Residing in non-Muslim countries varies depending on people's circumstances and the country's treatment of Muslims. If a Muslim can reside in a Muslim country, then let him do so; that is more safeguarding for his religion. If there is a need to reside in non-Muslim countries while preserving one's religion, there is no harm in taking your wife with you to protect her chastity and your own, and to keep her away from problems. If you cannot take her with you, it is preferable to place her in her family's home or a safe, independent home for her. The wife is not obligated to live with the husband's relatives; she has the right to an independent home.