To some degree, this is insanely ambiguous. I would argue in some respects that the EU's members are largely analogous to US states, for a variety of reasons. But the EU's members have the right to leave, maintain their own militaries, and have seats at the UN.

Whether or not a country is a country is inherently entirely determined by whether or not other countries agree it is a country, and any other distinction between what is and is not a country is largely meaningless.