Europe is a small place. It's only 600-700 miles in a straight line from the North Sea/Baltic Sea to the Mediterranean, after all. So the only way to get a thousand-mile wall is to build from the Baltic to the Balkans. But geography is there to prevent any sane ruler from doing this. Unlike China, which only has some mountains in the north of traditional China, Europe has tons of rivers to hide behind. Like the Baltic-Balkans wall, why build that when you have the Vistula system and the Carpathians to hide behind? All you need is some fortifications and fortresses to hide behind at certain points. And east of Russia, the Baltic-Balkans is the only place you can get a thousand mile wall, outside of stupid "solutions" like dividing Iberia or Italy.
There is the occasional conversation of a Roman Empire that reaches the Vistula/Bug and then goes south. I've always figured that this has to be done in the later Empire, so I could see a mad structure like this be a method to facilitate such a conquest.
Say we have a PoD of Justinian - Whilst waiting for a reason to invade Africa and Italy, starts up a project that is essentially two canals with a fortification in between - starting from the Black Sea, along the Danube and Pruth rivers, perhaps starting in a purpose-built delta town. The idea being that establishing a strong defence there, helps them clientelise the Gepids, and then have them assist with an invasion of Italy - providing two fronts.
The project starts, and continues, whilst Belisarius does an Africa, and then a more successful Italy (because Gepids force the Ostrogoths to fight on two fronts), before a Persian war kicks off.
Because of the nature of the fortifications, as they are being built, quarry and mining towns are build on the eastern side of the Carpathians, as resources are hunted for and found to help build this fortification. Ironically, this creates something to defend as they import goods from the rest of the Empire, and export whatever they don't need. It does also ensure that the north-eastern border of the Empire is pretty damn tough - as the outward canal functions as a moat, and the fortification makes it impossible to simply ride into the NE of the Empire.
Later, as the Danube mouth is very secure, the Romans based in Constantinople spend more effort invading along the Danube, essentially securing the eastern alps - and bringing the entire Carpathian basin under Roman rule. (Hurrah). This does mean that the eastern border is quite exposed - and try as they might, shipping men and material to the Carpathian passes is harder the further from the Danube (and the Pruth Frontier Canals). As a result, the Pruth Frontier Canals get a permanent force of engineers to extend the system north, when territory changes hands, as it is deemed more cost-effective in the long-term.
You basically have your wall now - but it could be extended all the way to the Baltic, if the Romans were able to continue to expand after Justinian. Not impossible, especially with a new Canal that opens up new avenues of conquest, but not easy. (A side effect is that the Amber Road would completely change in favour of the Amber Canal).
Completely mad, but this is a massive wall we're talking about here.