Also, when the colonies united, the government they agreed on was by today's standards extremely small and decentralized and there was absolutely no welfare state. Revenue was mostly from tariffs on imports with zero income tax. Merging modern European governments would be a massive undertaking in comparison. And the wealth levels between countries are so lopsided that any such merger would mean massive transfer payments out of the rich countries to the poor. And what about tax rates? Low tax countries will not like this one bit. When the US colonies merged under the constitution, you could very truthfully go to the average citizen of any colony and say "basically you won't even notice any changes." Whereas for the EU, you have to say to the voters "your taxes will go up and we will now be sending $100 billion Euros per year to people in other countries."