Zinnie Harris’ play, How to Hold Your Breath, predominantly involves Dana’s journey to Alexandria for a job interview. During her journey, Europe goes into financial collapse, and Dana and her sister Jasmine’s pride and sense of security, only because they are Europeans, are recurrently tested and gradually shatter due to a series of nightmarish experiences and encounters. The play deals, in particular, with the current discussions of the refugee crisis and the concept of Europe as the gist of civilization, yet it satirizes the latter by reducing it to an illusion that easily dissolves. Hence, even though the play is concerned with contemporary politics, it is curiously categorized, referring to the medieval genre, as a modern morality play. In this respect, this article analyses the concepts of being European as a sin – specifically pride, one of the seven deadly sins – in How to Hold Your Breath, and of Europe as a system that provides shelter to individuals in times of economic hardships. Accordingly, it explores Harris’ fusion of the medieval and the contemporary in Dana’s story, including the appalling conditions she has to endure as a refugee, so as to offer a novel perspective on the debates regarding Europe, Brexit, and the refugee crisis.