What? Scandinavia isn't part of Europe now? The "EU" is an organization, "Europe" is a continent. "European" includes everybody living in Europe (and yes, that even includes the Brits and most Russians).
I guess the confusion comes from thinking of "European" as some sort of cultural identity (which frankly doesn't exist, unless you only look at the last hundred years or so, and even that is generous), instead of the people living in the geographical region called "Europe".