I didn't manage to post this before the other thread was locked, so I just wanted to clarify it here, just in case someone doesn't know:
The continent is called 'Europe'. The organization is called 'European Union'.
Not every country on the continent belongs to EU. There is no continent called 'EU'.
If someone is asked 'what countries are you talking about' and replies 'the EU', it's a perfectly valid response, becaue EU is indeed a group of countries.