Technically yes, laws only apply within sovereign borders, but this is where trade agreements come into effect. EU is a big enough market that most countries will likely agree to uphold the rules for European citizens. It has been a big focus for online retail in Australia lately, and for good reason.
You can also have some very weird legal definition of a nexus, like this bank that allegedly opened a nexus in the US because they used US dollars for a transaction between two non-Us countries.
And there is also the case that the US army just land in your country and arrest anyone they could not kill.