All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad, sallallaahu ‘alayhi wa sallam, is His Slave and Messenger.
First of all, we congratulate you for the favor of embracing Islam. We ask Allaah to protect you and your religion, and make us and you firm upon it until death so that we may inherit Paradise and abide therein eternally.
There is no doubt that it is not permissible for a woman to travel without a Mahram except if there is a necessity. The Mahram is only stipulated in travelling and not while residing. Accordingly, there is no blame on you to stay in the country you are in to complete your study. However, you should strive to be in a place in which you feel safe for yourself. For more benefit, please refer to Fatwa 121191.
We advise you to call Islamic Centers to learn about Islam there and get to know some of your good Muslim sisters. Also, you may benefit from some of the beneficial websites such as ours (Islamweb) and other websites that refute the suspicious arguments of Christians and atheists.
If you need any help, you can seek the help of Muslims in the country you are in, and if you marry a good Muslim man, this may solve your problems. For your knowledge, it is permissible for a Muslim woman to search for a husband or introduce herself to the one whom she wants to marry on condition that she should abide by the Islamic guidelines as we have pointed out in Fatwa 82471.
If you eventually are to choose between the three options you mentioned, then we advise you to immigrate to a Muslim country in which you will be safe for your religion or that African country that, as you mentioned, has a Muslim majority for this may be better than staying in Europe.
You should know that a Muslim woman is allowed to travel without a Mahram when immigrating from a non-Muslim country to a Muslim one as stated by scholars for the necessity of preserving her religion. For more benefit, please refer to Fatwa 86565.
Finally, we would like to note that Sufis are Muslims in general; however, they practice many matters that involve Shirk and religious innovations which have nothing to do with Islam. They do them ignorantly, believing that they are part of the Islamic religion. Thus, you have to beware of their Shirk-related matters and innovations. You have to treat them kindly and teach them the correct Islam.
Allaah Knows best.