UEFA isn't really an initialism (well, maybe a backronym). FI is from French and FA is from English. French also has the word Football, but it was taken from English. - Googling.
UEFA: Union of European Football Associations [1].
FIFA: Fédération Internationale de Football Association [2].
CONCACAF, OFC, etc. all of thesr got something in common: the F stands for Football in their names.