There is no issue in puting a data only sim card in your phone. You will just have to make sure that you don't call at all with it. Because sometimes calls are opened on data only sim cards, but it is very expensive. An secondly data only sim cards that works in efficiently in other country are not so common. For example the one from vodafone at 3€ per day is quite slow seems to be 3G.
Some companies are specialised in providing data plan in Europe. They are more expensive but speed is 4G everywhere you may look at MY WEBSPOT for example