According to Wikipedia, the EU is a "sui generis entity".

That is, unlike anything else.

In political science, the unparalleled development of the European Union as compared to other international organizations has led to its designation as a sui generis geopolitical entity. There has been widespread debate over the legal nature of the EU given its mixture of intergovernmental and supranational elements, with the organisation thus possessing some characteristics common to confederal and federal entities.

Just like the Mediterranean Sea has originated the concept of a mediterranean sea, maybe a political entity like the European Union should be called a European Union.

Most economists teach a theoretical framework that has been shown to be fundamentally useless. -- James K. Galbraith