Yes though Europe is a lot more culturally similar and has a shared government for the most part.

Asia has very distinct countries and in some cases is even at war even if it's a cold one. Like India vs Pakistan, India vs China, North vs South Korea, China vs Taiwan. And customs, languages and (where applicable) religions are more radically different than within Europe too.

It makes less sense calling it "Asia" than it is calling Europe "Europe" :)

Russia and Turkey have a shared government with Norway and Spain?

Europe does not have "shared goverment". They have union and some harmonization, but nothing remotely close to a "shared goverment".