Becuse it is not proper English. "An" is used in front of the words that start with a vowel PHONETICALLY. An hour, an apple. While "union" phonetically starts with a consonant j [ˈjuːnjən]. So it is always "a union".
It seems to me that it might have worked with 'landene ønsker sig en forening.' Otherwise, union is 'fagforening.' And 'forening' is club or organization.