Here is a proof that there are no such actions (I am not even assuming smoothness of the action, only continuity). First, the definition (taken from
here):
Definition. Let $G$ be a topological group, $X$ a topological space and $\mu: G\times X\to X$ a (continuous) action of $G$ on $X$. Such an action is called locally free if there exists a neighborhood $U$ of the identity $1\in G$ such that each $g\in U\setminus \{1\}$ acts freely on $X$, i.e. the homeomorphism $\mu(g, \cdot): X\to X$ has no fixed points in $X$.
You can also find the definition for instance in
Candel, Alberto; Conlon, Lawrence, Foliations I, Graduate Studies in Mathematics. 23. Providence, RI: American Mathematical Society (AMS). xiv, 402 p. (2000). ZBL0936.57001.
Suppose that $G=S^1$ (with the usual topological group structure) and $X= E^n$, the $n$-dimensional Euclidean space. Suppose that $\mu: G\times X\to X$ is a locally free action. Let $U$ be a neighborhood of $1\in S^1=G$ as in the definition of a locally free action. Then there exist a prime number $p$ such that
$$
g=e^{2\pi i/p}\in U.
$$
The existence of such $p$ is totally clear (from the infinitude of prime numbers). Then $g$ has no fixed points in $X$. Let $H$ denote the subgroup of $G$ generated by $g$. This group is isomorphic to ${\mathbb Z}_p$, the finite cyclic group of the order $p$ (I am using the topological notation here for finite cyclic groups). I claim that $H$ acts freely on $X$ (via the restriction of the action $\mu$). Indeed, suppose that $h\in H\setminus \{1\}$ is an element such that $h$ fixes a point $x\in X$. Since $H$ has prime order, every nontrivial element of $H$ is a generator. Hence, $g=h^k$ for some $k$. Since $\mu(h,x)=x$, it follows that $\mu(g,x)=\mu(h^k,x)=x$ as well, which is a contradiction to the fact that $g$ has no fixed points in $X$. Thus, $H$ acts freely on $X$. But finite nontrivial groups cannot act freely on Euclidean spaces, see my answer
here: I give two proofs of this standard fact from the theory of transformation groups. We conclude that a locally free action of $S^1$ on $E^n$ does not exist.