Crusader Kings 2 is native on Linux, I would recommend that as it's superb and very difficult. There's a free demo on Steam. If CK2 runs on Linux with Steamplay, I wouldn't be surprised if EU4 runs on Linux at launch. You'd still have to wait a while before it's released though... more time to play CK2!
Oh, and if you're reading this and your name is Stapel: Crusader Kings 2 also runs on Mac.
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