A Euclidean quantum field theory is a quantum field theory given, as an FQFT, by a functor on a category of cobordisms that are equipped with Riemannian structure.
This is in contrast to the phenomenologically more realistic case where the cobordisms are equipped with pseudo-Riemannian structure and thus can be thought of as pieces of spacetime.
It is also in contrast to the case where the cobordisms are equipped with no extra structure, which is the case of topological quantum field theory.