It takes 3 negotiates for it to form
Edit: small clarification: it takes 2 negotiations, and then, a new button to form it appears on the foreign policy card
I mean, in 1925, Edvard Beneš was in favor of the 'United States of Europe', so there was already some (very) slight leverage for the concept of the EU.
Edit: What I said isn't trying to change the fact that the EU was probably more unrealistic than other alternative historical events, but I'm saying that it was possible.