I asked the same question to my professor when I took thermodynamics as an undergrad. In that class we are told that a particle in a box of size 2 can be in twice as many places as a particle in a box of size 1. But in real analysis we learn there are just as many numbers between 0 and 1 as there are between 0 and 2. The answer I was given, in true physicists form, is hand-wave it. There's an intuitive notion that twice as big means twice as many places to be, therefore just accept it and let the mathematicians cry over our abuse of the reals.
The true answer is that "quanta of energy" is not a simplification. The idea that physical variables like energy and position come in discrete units is the quant in quantum physics. If you imagine the position of a particle in a box of size 1 to be discretized into n states, then a box of size 2 really would have 2n states. So all of your concerns are moot because quantum mechanics replaces all the uncountable sets with countable ones.
But this still leaves us with the issue that Boltzmann did all this work before quantum mechanics existed so there must be some useful notion of "bigger uncountable infinities". The answer, as far as I know, is that you can always approximate classical physics with finite precision variables so long as the precision is high enough (replace the reals with floats). The idea of counting states works for any arbitrarily precise (but still finite) discretized variables, and as far as physicists care an arbitrarily precise approximation is the same as the real thing.