Thanks for your point. I agree with you. We can indeed use ““We, the Citizens of the several European States” or “We, the Citizens of the federation of the United States of Europe”.
This is a classical difficulty, that is why we got “We the People of the United States” in the American Constitution without a precise list of the states as the constitution was in the ratification process. While the anti-federalists like Patrick Henry understood it as a menace to the sovereignty of the states, originally the formula had been introduced as a matter of legislative drafting to respect state sovereignty. Bassani wrote something on that in his papers on Calhoun and Jefferson. I am happy to share further info on that. As we know, later, that “we the people” was used to forge a real federal people. You can find further details in Morgan book, inventing the people https://www.amazon.it/Inventing-People-Popular-Sovereignty-England/dp/0393306232