First we have to consider a little history. The treaty of Paris of 1951 established a common market for coal and steel among its member states which served to neutralise competition between European nations over natural resources. That was in 1951. Coal and Steel are not so significant now but gas is. So I ask, why is the EU not unifying the purchase of gas?
The European market, over 500 million people, is the biggest mature market in the world. With that buying power the best deals possible could be struck. A united Europe, buying centrally, would have the power to resist the attempts by Russia to deal with each country individually and put serious pressure on them. In that well know phrase (attributed to Aesop, 2000 year ago but perhaps better know through the 1970’s Brotherhood of Man hit United We Stand), “United we stand, divided we fall”.
Alternatively, and for those more familiar with English idioms:-
“We must indeed all hang together, or most assuredly we shall all hang separately.”