With Article 13, GDPR, VATMOSS and other things I heard complained about from small businesses, I wouldn't want to start a company in the EU. At most I would hire employees there to work remotely.
In the UK I can setup a new legal company in an hour online, and have access to top notch banking from across Europe almost immediately.
And in the USA, you only pay sales tax for customers inside your state, unless you have something called a 'nexus' within the other states, which is simpler to avoid by staying put in a single state.