Keep in mind that in Britain, there's both a Muggle government and a Ministry of Magic. The Ministry of magic deals with magical Law Enforcement, Magical Accidents and Catastrophes, Magical Creatures, Magical Cooperation, Magical Transportation, Magical Games and Sports and [Magical] Mysteries. In other words, the MoM deals with only the magic in Britain while leaving the governing of the actual country to the Muggle government. Magical Cooperation deals with things like the Quidditch World Cup, Triwizard Tournament, and International laws and standard cauldron thickness. So while I could not find anything in canon, it is extremely unlikely that there is a political Union such as the EU in the magical world.