But you overlook the fact that the Council of Europe was formed precisely to provide
common legal and humanitarian standards across all of Europe, in order to stop individual nations falling under the spell of of autocrats, populists and police states. That was the whole point. And the war-weary nations, with Auschwitz seared into their consciousness, realised the trade-off in national sovereignty was worthwhile.
In any case, what's so special about a country? Take the UK. Who says it is the UK government, at Westminster, that is uniquely "sovereign" over all the citizens of the UK. The Scots, Irish and Welsh take a dim view of that.
National borders are arbitrary creations, usually of the outcome of the last war to be fought over the territory concerned. Where does Alsace belong? All the places names, the architecture, the food and drink etc are obviously German. But it's in France. Now. Before that it was in Germany. And before that, France. And before that Germany......etc:
Alsace - Wikipedia
Everywhere has some sort of hierarchy of belonging, from town government to state or county government to national government and then, via treaties and alliances. Each level trades some of its autonomy to larger groupings in exchange for mutual benefits.
That's how it works everywhere. There is no law or principle that says this principle stops at nation state level.