Requested move 

Member State of the European Union →  — Use proper capitalization and use plural as in similar articles.  

Capitalization of the noun "state" as in
 U.S. state

Plural as in:
 States and territories of Australia
 States of Austria
 States of Brazil
 States and territories of India
 States and federal territories of Malaysia
 States of Nigeria
 States of Sudan
 States of Venezuela
 List of United Nations member states