You can do this in a query by manually querying for the constituent's address country.
  1. Go to Data Management > Query
  2. Click Create a new Query
  3. Give a name and description for the query > click save
  4. In the Field Type drop down, select Address 
  5. In the Field drop down, select Country
  6. Select a country that is listed in the EU (see here for entire list) > click save
  7. You will need to repeat these steps until you have chosen all the countries listed