Since Moldova is a contracting party to the PEM Convention, can a EUR.1 certificate be issued for a country of the PEM zone, with which Moldova does not have a FTA, e.g. Egypt?

No, as there is no legal base for that. The EUR.1 certificates and other proofs of origin have relevance and are to be applied only within specific FTAs in force between the country of exportation and importation, as well as between the other countries in the PEM zone, which participated in the acquisition of the origin of the respective goods. For example, Moldova cannot issue EUR.1 certificate to Egypt for goods of Moldovan origin, or for goods of EU origin, even though in the second case there is a FTA between Egypt and the EU.