Yes, you can, but you can also set up a hotspot with any smartphone, so it's not absolutely necessary to buy such an expensive device. I would rather use a cheap smartphone, because the battery lasts much longer. One of these, for example, would be ideal for this purpose, as it even fits two SIMs for travelling in different countries:

Xiaomi Redmi Note 10 5G (64 GB, Grey, 6.50 ", Dual SIM, 48 Mpx, 5G)

The hotspot function is then simply activated in the smartphone, which works very well and you can also use it to connect several devices to the internet.

The ZTE MU5001 works fine with an Italian SIM card (Wind3). I have not yet tried the device in the wider EU area (but would do so with the Wind3 SIM card as well, since roaming in the EU area is almost free - there are no additional charges, but with Wind3 the data volume is limited).