Mike, I tried to be funny. And you have to be all seriuous, ah never mind.
(Y'all please disregard my kaliber comment above, it was a failed attempt at a joke.)
novus, Norway isn't a member of the EU, although I can still travel in the union without a passport or move there and get a work/residency permit just by saying "I'm here".
To my knowledge there is no EU law on this, each country has its own firearms laws. I would be careful about bringing anything into a country I didn't know. Lead paperweights are probably ok in some countries, but I don't know about Cyprus. Also, regardless of importation - if they don't have slugs there, it's probably because it's illegal to own/use, not because they haven't heard of slugs. Slugs are popular in many European countries, particularly for wild pig hunting.
I think it's better to be safe than sorry. If you were caught with illegal lead paperweights (assuming they are illegal), I think a fine and possible deportation is more probable than prison. That's just a guess though, I wouldn't want to be the one to find out. I don't think your cartridge key ring will put you in jail either, unless it's a live round
and you try to take it on board an airliner. It's just not worth it to try to explain to a minimum wage airport ninja (US or Cypriot) about a dummy round, either, imo.
Anecdote: On hearing that suppressors were available over the counter in Norway, someone in a gun store in California once asked my father if Dad or I could bring him one on the next visit, he was curious as to how they were made.