I can think of a few reasons.

- It would erase culture, a slow process already ongoing. National identity, regional culture, etc would all go. - You'd have to reconcile the differences in rules, culture and law. Take drugs; the Netherlands is liberal with soft drugs, Portugal is more liberal with hard drugs, other countries still put you in jail for having any of those. Which one will it be? Who will pick what option? - Wealth disparity. Euro-skeptics have long complained about how much money the wealthy countries pay to Europe, and how much is funneled to the poorer countries. Make it one nation and every city, every farm, every individual will instantly demand to receive and be paid the same amount. Same complexities with health care / insurance, government stipends, benefits, taxes, etc.

Just abolishing nations is infeasible. Europe as it is is slowly turning its members into a more uniformized whole, but it can't be an overnight thing. And we have made some really big steps towards erasing borders; see the Schengen accord, removing border posts and customs between member states. See the Euro, removing barriers for moving money from one country to the next. And see the UK, who decided that was not to their benefit and removed themselves from the EU again.