It's the word 'proud' I have an issue with.
I'm proud of my parents and my sisters. I didn't achieve what they did but I'm still proud to be associated with them. I feel the same way about the United Kingdom and Europe. I haven't done anything particularly amazing in my life but I am proud to be associated with history of the United Kingdom and Europe.
Same way I am proud of being a supporter of the English cricket team. I don't play Cricket but I still follow them and enjoy it when they win and feel sad when they lose and when they are the number one team in the world I feel proud of that fact.