How to display European Union region within Azure maps?

I have a dataset that invloves values tied to countries, as well as the European Union as a whole. I would like to be able to display a filled map within Azure maps of all the European Union countries when option is selected.

I'm aware you can display continents, however, displaying Europe is innacurate to the data I am using and it must be the Union.

Is this possible within Azure maps, or will I need a shape map? I am new to PowerBI and have struggled using shape maps, and like the look of Azure.

Thanks!