Accordingly, the Language of Set Theory (in this case using $ZF$ axioms) is built up with the aim to express all mathematics. Now, I know that, for example, the construction of the numbers ($\mathbf{ \mathbb{N},\mathbb{Z}, \mathbb{Q}, \mathbb{R}, \mathbb{C}}$) is got right from the axioms and definitions from the Language of Set Theory, so everything is inside the same theory. But, when we are dealing with especial structures like for example Euclidian Geometry, we need to state new axioms, and, apparently, it doesn't make any sense to add this axioms to our original set theory because it might be possible to find a different model, maybe completly artificial, in which some axiom of Euclidian geometry migth not hold or result in a contradiction. But Euclidian Geometry and all the different theories that one might think of are part of mathematics. So my point is that it is impossible to develop all of mathematics just from the axioms of set theory. Does it make sense? Please tell me if I'm wrong and if I'm missing something. Also I have these questions:
In building these new theories (like euclidean geometrie, etc), each theory uses the language of set theory. But also we add new axioms. So, are we talking of a different language? Are we talking of a different theory? Is the language of set theory a metalanguage in this new language? I'm totally confused.
The way one can develop both Euclidean and non-Euclidean geometry in set theory is by considering the objects of geometry, such as points and lines, as kinds of sets. For example, it is natural to consider a line as a set of points. It is not so natural, but still possible, to consider a point as a set. It doesn't matter much how we do this, only that it is possible via various formalisms. For example, a point $(x,y)$ in $\mathbb{R}^2$ can be considered as the pair $\{\{x\},\{x,y\}\}$ according to Kuratowski's definition of the ordered pair in set theory, and then the real numbers $x$ and $y$ can be considered as sets of rationals according to the definition of $\mathbb{R}$ in terms of Dedekind cuts, and so on.
With a bit more work, one can describe models of non-Euclidean geometry such as the pseudosphere in terms of sets. One way to do this is to first embed these models into a higher-dimensional ambient Euclidean space. A more abstract way is to use the notion of a manifold, which can still be described purely in terms of sets, but this involves so many steps now that most people would not want to do this. Still, experience with such formalizations shows that it can be done in a straightforward (if tedious) manner.
In any case, one does not have to add axioms to $\mathsf{ZF}$ to study the Euclidean or non-Euclidean case. The axioms of Euclidean or non-Euclidean geometry simply pick out subclasses of the class of manifolds. Once you pick a formalization of "manifold" in terms of sets, it is a consequence of $\mathsf{ZF}$ that there are many examples of both types of manifold.
It is true that some things are not decided by $\mathsf{ZF}$, such as the Continuum Hypothesis. However, the statements "there are Euclidean manifolds" and "there are non-Euclidean manifolds" are both simply theorems of $\mathsf{ZF}$. Note that in the context of $\mathsf{ZF}$ it does not make sense to ask whether the universe itself is Euclidean, because the universe of sets is not a manifold at all.