Europe,Greece;the first pyramid was found there,dated around 12000 BC,the Egyptian pyramids followed long after...further investigation is needed about other aspects...
You have actually 3 candidates: Egypt - Sumer and the Indus Valley(Mohenjo Daro +Harappa) So you have two in Asia and one in Africa. Europe comes into the picture quite a bit later.
Some say that the civilization of Sumer (in what is now Iraq) predates Egypt, but there isn't much in it really. Europe did not develop any major civilizations until Greece, Crete, etc, which was a very long time after Sumer and Egypt.