The short answer is: there isn't any.
There is no such thing as anonymous booking nor anonymous check-in. What you have described is simply automatic collection of keys on late arrival or arranged/instructed by the hotel. Just because some European countries have lenient regulations it does not mean that they encourage anonymous stays. There is an implicit trust involved that the person(s) who are staying are the person(s) who booked in the first place.
At a more detail level, your example of German hotel is misintrepation, rather confusing trust with anonymity. While the German laws are notoriously protective of customer data, the registration is still mandatory, as also reported by KPMG. Also, a report by U.S. Department of Homeland Security clearly mentions the "EU practice of mandatory collection of hotel guest registration data" as well as potential possibility of data sharing in future.
A similar discussion thread, on FlyerTalk, might be of some relevance.
I strongly discourage you to use a hotel or residence in EU with a (false) hope of anonymity for whatever reason.
For general sake of convenience, you can try peer-to-peer rental agencies that support anonymous currencies (bitcoins, etc), such as 9Flats. Still, if using bitcoins, while the transaction is anonymous, the hosts and guests are not, the general data collection laws apply, and as 9Flats says it is built on "mutual trust."
Disclaimer. I am neither a privacy nor legal expert. The above information was collected simply by a quick web search.