I'll traveling to Europe and NYC in April/May and I want to know if there is a prepaid SIM that works in all Europe (I don't know which countries I'll visit) and in NYC? I only need LTE connection.
Yes, of course there is. I myself use Glocalme which covers some 56 countries to provide data to multiple devices since it's a mobile hotspot. Edit: but it is not a SIM, it's a mobile hotspot.
There are a large amount of international SIM cards available at the other end of a Google search, although I found their prices quite high.
UK SIM cards provide great opportunities. Three’s Feel At Home allows you to use their data in 34 other countries which covers most of Europe and the USA, although my experience was it's very slow. But sure, it's there. Similarly Vodafone UK has packages which allows you to use your data in Europe but I believe not the USA. Both of these SIM cards are readily available on eBay. I do not have experience with Vodafone.