Europe is the name of a continent. What reason(s) would there be to change the name of a continent?

In contrast, the EU is a trading block, set up to foster greater pan-European trading relations. It's not the only pan-European institution. For example, the Council of Europe ( https://en.wikipedia.org/wiki/Council_of_Europe ) is a separate pan-European institution, set up in 1946 which was before the EU or any of the predecessors of the EU, and amongst other projects was behind the formation of the European Court of Human Rights. I bring this up to highlight that we do not need the EU in order to have collaboration between European countries.

When do you think people began calling "America" "America", and why? Or referring to the largest continent as "Africa" ?

I understand what your point was. I was thinking long term and noting that the future is uncertain, at best.

You haven't given any dates, but if you're talking about ancient Egypt, i.e. the Egypt before 0AD, then yes. The term "Europa" was used to refer to the continent around this time by the Greeks, and I don't see why Egyptian people wouldn't have picked up on a useful term they didn't have before.