That depends on where the boundaries you would set on "Western Europe." I've played many campaigns in EU4, one of my favorite games. Once, and I remember it because it was quite memorable for the reasons you're asking, UK went Protestant, France was Reformed, the Lowlands were also Protestant (awkwardly enough, Denmark remained Catholic and had prevented Sweden from becoming independent, but eh). So if that's what you would define as Western Europe: The British Isles, the Benelux region, and France (discounting Spain and Portugal), then yes. It may be unlikely, but I've seen it.
Only time N. Africa or Middle East would ever "turn" Christian is if you, the player, are doing that for the achievement run with the Knights.
