EUR is Esposizone Universale di Roma, a suburb south-west of the city center which was built for an international exhibition scheduled for 1942 -- this never took place due to World War II. The park is part of this suburb, the name LunEUR probably representing an anglicized corruption of Luna Park -- a name by which the park is (somewhat confusingly) also known.
Luneur Park reopened in some small capacity in 2012. No roller coasters are believed to have operated at this time. In 2013 or 2014 rides started to be removed from the park.