I'm an American living in the UK, and I've read a lot around this issue. No clear answers (I don't think they exist?), but here's where I've ended up.
You don't say where in Europe you live, but if it's the UK, I recently found out that YouInvest do allow you to do a SIPP (this is what they told me via email, at least--I haven't actually opened an account yet). They offer a pretty wide variety of funds, including a bunch of Vanguard ones. I believe that the recent FATCA agreement (Sept 2014?) between the US and UK said that banks don't have to report on ISAs and SIPPs, so it might be that other banks will wake up and start to allow US citizens to hold those sorts of accounts. Technically the US government can/will leverage massive fees if you own foreign-domiciled funds; if you hold them in a retirement account, it's a bit of grey area, but if the bank doesn't have to report the SIPP....
I have a feeling you'll find buying US Vanguard complicated. You may want to check out this article on US Citizens buying mutual funds while they're resident abroad:
https://americansabroad.org/issues/banking/mutual-fund-restrictions/ Nice thing is you get to fill out an IRS form 2555- up to 92,000 USD before uncle Sam wants a cut.
Not sure, what do you mean by this! Could you elaborate? Do you mean that you don't have to pay tax up to 92,000 USD (Difficult to believe :-))?
Just to be clear: you aren't paying US taxes, but you are still liable for taxes in whatever country you live in. Also, this limit only applies to *earned* income, not investment income.