I doubt the sense of Jihads against religious locations that are not:
- holy places to Islam,
- former Muslim realms,
- home of particularly epic enemies (e.g. Constantinople).
This said, the problem here is that as long as there is a power which can wipe out any target at will single-handedly, human players can die semi-randomly in one sweep even. This type of game over is a problem in itself and a separate problem from the historical, political, military or common-sense plausibility of the way the war goes.
I suggest that perhaps if you're a king and get wiped out like that in a Jihad, then depending on your prestige, opinions with people etc. perhaps in some cases this or that European ruler should get an event and land a surviving member of your dynasty as a dount somewhere in his demesne. You'd no longer be a king but you'd still be in the game (with claims). Perhaps not a sure-fire but let's say if you have an ally or relative or there is somebody who really likes you or if you have a really huge prestige or piety or if you'd simply make a good count/advisor for someone who needs one (due to your stats). Just thinking.