Earlier quoted context omitted.
Plenty of supermarket products say made in Europe, particularly (but not only) white label products.
The words aren't important. The regulated meaning is. Does it have a legal meaning? If so, what is it? Who enforces it? Consider made in Italy vs made in Germany are different in meaningful aspects.
The way I see it, "made in Europe" may be dubious, but "made in EU" should be just as okay to write as "made in USA". And if it's not a thing, well, nothing is a thing until people make it a thing.
EDIT: also we're talking about a software product here, where most things written on the product is legally meaningless - otherwise we'd have special customs regimes for those major software exporter places like "love" and "♡".