The cleanest way to do this (from an accounting perspective) is for you (or your spouse) to create a Canadian company and have that company then bill the European company for your work. In that way it becomes a company-to-company transaction and is generally not subject to offset, withholding, etc. The Canadian company would be responsible for paying taxes, etc.
Note that Canada is a very pro-small-business country. A Canadian Controlled Private Corporation (for example) has a maximum corporate tax rate of 50% the amount for an ordinary corporation (generally around 21%). Further, if the company is owned by someone else, such as your spouse or a trust, and not by you, the corporation can obtain an LMO and offer you a work permit in Canada, which means you can work while the PR application is in process, in most provinces you will be eligible for health benefits, etc.
Ignoring that, if you wished to remain an employee of your current employer, a letter to the effect that they will continue to employ you while you live in Canada would be sufficient - it also helps demonstrate that you and your spouse do plan on returning to Canada, which is necessary as part of your sponsor qualifying if you are both outside Canada when the application is submitted.
And indeed, having your wife sponsor you would be the fastest way to do this. Note that (assuming you are from a visa-exempt country) the best choice here will be an OUTLAND application. To confuse things, the name "OUTLAND" refers to where it will be processed, not where you are located. You could move back to Canada and then apply OUTLAND. This is generally recommended because of the faster processing times and appeal rights that come with an outland sponsorship. Note that sponsorship times do vary outland by visa office, so make sure that the relevant visa office for your application would be faster than the inland process.
Good luck!
