"It's as if a country called "The Grand Duchy of Europe" referred to its citizens as "Europeans", to the great dismay of everyone else in Europe."
If the European Union ever turned into a real country rather than a loose confederation of allied states (just like the US did between 1776 and 1865), I bet you'd call citizens of that country "Europeans". Unless their respective countries had joined the EU in the meantime, the Norwegians, Swiss, Russians, Icelanders, Turks, Belorussians, Ukrainians, Moldovans, Serbs, Croats, Macedonians (or is that Former Yugoslav Republicans?), Kosovans, and Bosnians may or may not be annoyed at that usage.
 Some countries call Macedonia the "Former Yugoslav Republic of Macedonia", since some people in Greece are annoyed that they named their country after a region that extends into Greece.