We have the europe tag, which has been used on four questions as of this posting. Two talk about the European Union, one specifies no jurisdiction, and one takes place in Greece.
How are we going to use the europe tag?
The European Union is clearly not the same as individual countries in Europe. It acts on larger scales and has larger implications. I would think it warrants a second tag - european-union.
However, I'm also unsure if the europe tag would be helpful. Laws differ in countries across Europe. For example, Spain and Ukraine have different laws and governments. They just so happen to be on the same continent.