Can I buy an iPhone 14 Pro in the USA but use it in Europe?

There woun't be any issue except the warranty part.

IMPORTANT RESTRICTION FOR iPHONE, iPAD, APPLE TV AND HOMEPOD SERVICE.

Apple may restrict warranty service for iPhone, iPad, Apple TV and HomePod to the country where Apple or its Authorized Distributors originally sold the device.

1. If you buy a Brand New Apple Device
   1. Purchase Apple Products from the Apple Online Store, Apple Retail Stores, and many Apple-authorized resellers and wireless service providers.
   2. If you choose "Connect to a carrier later" (Unlocked iPhone) when you buy your iPhone, you can activate your service when you receive your device.
   3. If you're asked to transfer your SIM, follow the onscreen instructions to transfer service from your previous iPhone. To learn more, visit About eSIM on iPhone - Apple Support.
2. If you intend to buy a second-hand device
   1. If you are buying Second-hand then please demand an original receipt of purchase issued by the Apple Online Store, Apple Retail Stores, and many Apple-authorized resellers and wireless service providers from the person/agency that is selling you the device.
3. Check for Activation Lock before you buy a device from strangers
   1. Before you buy an iPhone, iPad, iPod touch, or Apple Watch from someone other than Apple or an authorized Apple reseller, make sure that the device is erased and no longer linked to the previous owner’s account. Ask the seller whether or not they've turned off Activation Lock, then follow these steps:
   2. Turn on the device and slide it to unlock.
   3. If the passcode lock screen or the Home screen appears, the device hasn't been erased. Ask the seller to completely erase the device by going to Settings > General > Reset > Erase All Content and Settings. Don't take ownership of any used iPhone, iPad, or iPod touch until it's been erased.
   4. Begin the device setup process.
   5. If you're asked for the previous owner’s Apple ID and password, the device is still linked to their account. Hand the device back to the seller and ask them to enter their password. If the previous owner isn't present, they can remove the device from their account by signing in to icloud.com/find. Don't take ownership of any used iPhone, iPad, or iPod touch until it has been removed from the previous owner’s account.
4. You will know that a device is ready for you to use when you're asked to "Set up your iPhone," “Set up your iPad," or “Set up your iPod” the first time you turn it on.
5. If you buy a device that's still linked to a previous owner's account, contact them as soon as possible and ask them to erase the device and remove it from their account. Learn how to remove a device from a previous owner's account.

All iphone 14's sold in the US are esim only. There is no way to add a physical sim card.

Your carrier has to support esim or the phone won't work.

As pointed out, you will have no warranty coverage in Europe. If something goes wrong and you need service, you will have to return it to the US for service.

iPhone - Supported 5G and LTE networks - Apple

iPhones bought in the US don't work in Europe!