The EU and Europe are not the same. The tag usage, in my opinion, is pretty good and demonstrates a need for two separate tags (and possibly a third tag).
There are questions which apply only to the EU. All the questions currently tagged EU seem correctly tagged. There are few EU specific questions tagged Europe.
There are questions that apply to all of Europe. This seems to be the vast majority of the questions tagged Europe.
There are a few questions that apply to non-EU countries in Europe.
I propose three tags: europe, europe-eu, and europe-non-eu (I don't really like that name/hyphenation). Then we could make eu a synonym of europe-eu.