Cyprus is a European football nation which is in UEFA not in AFC.
Cyprus is special because it had 3 options, it could had joined UEFA or AFC or Even CAF
People think to say Cyprus is part of AFC because geographically it's in Asia, but like Turkey, Russia, and Kazakhstan, you don't really have to be in Europe to play in UEFA. Most of these countries have European influence in their culture
References
Cypriot Football Federation Wikipedia(Text) CC BY-SA