There isn't a direct equivalent that's in common use (common as in nip to the nearest electrical wholesaler and grab a drum). THHN designates a pvc sheath with a nylon over-sheath and while there are plenty of euro/uk equivalents in terms of stranding, cross-sectional area and temperature rating there isn't a common one that I know of with the nylon over-sheath. Consequently if you use common equivalents you're going to end up with a higher outside diameter.
For instance, 12 AWG stranded THHN (3.31mm2 CSA) - OD ~ 3.29mm, nearest equivalent 4.0mm2 CSA 6491X (aka H07V-R) - OD ~4.2mm.
For your 14 AWG (2.08mm2 CSA) the nearest equivalent is going to be 2.5mm2 CSA H07V-U.
THHN is specified for both wet and dry conditions. 6491X is only specified for dry conditions. THHN and 6491X are both common as muck in their respective countries and are on the shelves of every electrical factors/wholesalers.