Cannot create a country for tax zone

 Hi to all,

I am new in E-Business Tax implementation, so don't misunderstand me if it is a silly question.

I want to create a tax zone for EU. So, I go at Geography hierarchy to validate the countries. But, when I go to structure i have the option state, city, postal code. So, I can't choose country. And then when I go to create a tax zone for a specific country I can only add state, city, postal code. 

Why is that? How i will add all the 27 countries to a tax zone? i have read the manuals but still nothing.