Европа это не страна - Europe is not a country. This is correct.
The same is true for America. It is not a country - it is a continent.
America = USA would be the same as Europe = Germany (for example) or France or Britain. How would you like that ? USA = America is a political decision for imperialism
As a Canadian living in The United States of America, a land of hyphenated ethnicity, I wondered why there were people labeled "Mexican - Americans" but I never heard the term "Canadian - Americans". It was explained to me one day that a Mexican-American was a legal immigrant to The United States of America, whereas a Mexican is someone who lives in Mexico and since Canadians are "just like us", they are simply called Americans. That was when I stuck my head in a туалет and flushed.
That said, every time the question, "Is this America or Canada" pops up in DuoLingo I cringe, bite my teeth on my keyboard, resist the urge to answer "Yes" and move on.