They do in fact support this - e.g. Mozilla trusts KamuSM only for .tr [1], Chrome limited ANSSI to French TLDs [2].
However, there is no indication that the EU would be willing to accept such constraints on their national CAs. If you look at several of the current national European CAs, they routinely issue for generic TLDs like .com.
[1] https://groups.google.com/a/mozilla.org/g/dev-security-polic...
[2] https://security.googleblog.com/2013/12/further-improving-di...