Why do think it must be pressurized? People work in mines (ok none 10km deep) but they don't need pressurization...
If you assume the artificial cave on europa has, (in this very low gravity), the structural integrity to support itself then why would you need to pressurize it?

Also why 10 km deep?, water ice would stop radiation there in, educated guessing, 10's-100's of meters...why go so deep?
Is my guess here that many of orders of magnitude off?

(BTW I agree this is a pipe dream and we will be terraforming mars long before this happens...There are other problems with this idea...such as europa is not just water ice...lots of other nasty volatiles in the ice there too. Maintaining a non poisonous atsmosphere would be tough!)