How does the US do it? They have a fair amount of states too with their own laws, don't they?
Sure, federalism produces some overhead and inefficiencies. But it also has many benefits. Especially to avoid too much power in one hand but also others. E.g. you can have different school systems in different states and see what works better and adapt the other systems (if you actually do that is another question).
People are also different in different states. This also applies to Europe and its member states. Just merging all into one is just a recipe to fail epically.