Does Euron think he is Azor Ahai? With the exception of Light bringer we know that he does fit aspects of the prophecy. He was born amidst salt on the Iron Islands. He was reborn under a bleeding star on the smoking ruins of Valeria. This was all roughly around the same time that the dragons were born. He might even have the blood of a dragon within his blood eye. What are the odds of Euron being the prince that was promised?
Azor Ahai’s supposed to save the world, and Euron wants to end it, so I’d say he’s a dark mirror at most. After all, he has no Nissa Nissa, because he loves no one but himself. I don’t think Euron conceives of himself as the heir to prophecy, but as a disruptive metaphysical hijacker out to destroy the gods’ plans along the way to taking their place. Dany was given her dragon eggs as a gift, and risked her life in hatching them; Euron prefers to steal magical artifacts, and as we see with Dragonbinder, he risks other people’s lives rather than his own.