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Because after a lot of bloody history Europeans realised that the nation-state was a good level of government. There's a reason the Ottoman Empire, Austria-Hungary, and Yugoslavia no longer exist.
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The examples you give aren't related to what the modern EU is, though. The Ottoman Empire was, a super-state run by a minority ethnic elite that imposed harsh anti-reformist law upon its many sub-peoples. The OE existed at a time where ethnic lines ran far more deeply than today, and where primary cultures and accepted cultures fundamentally positioned one within society. A Hedjazi fisherman had little reason to pledge his allegiance to a Turkish Sultan who was, might I add, unelected.
Austria-Hungary was again, a nation that imposed very strict repressive policies based upon one's ethnic group. An Austro-Hungarian elite (one might actually say a South German elite, excluding Hungarians in all but name), presided over an empire constituting Serbs, Bosniaks, Turks, Albanians and Croatians to name a few.
Yugoslavia (a successor state of Austria-Hungary of course); another nation comprising other cultures that got on together very well under the fairly beneficent dictatorship of Tito. All fell apart when he died and far right minority fascists underwent a maniacal genocide.
There's a common trend here, and it's not "BIG GUV FALES".
Subjugation, inequality and repression are the evils.