Is Luxemburg the only sovereign Grand dukedom left in the world?
Yes
In Europe; Liechtenstein, Monaco and Andorra are principalities; I'm not sure what exactly the Vatican is but it's an elective clerical monarchy (those used to be common in the Holy Roman Empire, they were called Prince-Bishoprics, but I'm not sure what the Vatican in particular would be called); Luxembourg is a Grand DUCHY (not dukedom), but other than that all the other surviving monarchies in Europe are Kingdoms (those would be the UK, Spain, Belgium, the Netherlands, Denmark, Norway and Sweden).
When the Papal States were still a thing, the Pope was being frequently refereed to as the "Pope-King", although I'm not sure if there was any official title for them as sovereigns of the Papal States, independently from the title of the Pope.