They're both unions of states. The U.S. is over twice the size of the E.U. in terms of land. Since the flags are about representing regions, it's a little silly that land masses under 100 thousand square miles are getting 1 flag each and a land mass of 3.7 million square miles gets only 1 flag.
I could see the 10 provinces and 3 territories in Canada getting flags too.
To my knowledge, the European Union is not officially recognized as a country. We're not trying to decide what is what, instead, we're looking for official statuses.