for the same reason European Union is capitalized.
But (like several country names in Norwegian) only the first letter is capitalized when the words which follow are not "names":Den europeiske union; Den sentralafrikanske republikk but New Zealand or Den demokratiske republikken Kongo
Because it is a proper name, and they are generally an exception to the grammar rule. You can tell this is the case because 'Den' has a capital letter which means it is a name, rather than just a regular description. Hope that makes sense.