Can I use the console when Europa Universe 4 is online?

You can't. According to official website's query of Europa universalis 4 game, the role of the host is that players can input the preset host code of the game to modify the data in the game and enable various cheating methods, which is an act of tampering with the game. Europa universalis 4 game will be detected and permanently processed by the official, so Europa universalis 4 cannot use the host online.