Nations are a construct of man, not a natural reality. They reflect the social a priori that implies that our consciousness and our knowledge are socially constituted. Many nations were even the product of the action of a State. There were Savoyards, Bretons, Gascons before there were French, and Bavarians and Prussians before there were Germans.
This does not imply that Europe could become a Nation, not even as Montesquieu pretended “une Nation composée de plusieurs” (a Nation composed of many). Europeans are too diverse and too self-critical for that to happen. We belong nevertheless to two societies: our own society and the European one as the essential background for our rationalist, universal values. Reason can built new realities.