The UN is not itself democratic, it just self-asserts democracy as one of its core values. But it very much does include leadership of countries that are not democracies.

I think this is far too indirect to call it democratic, not only because of practical problems such as most people not even knowing the representatives of their own countries.

The parliament isn't really independent in my opinion. It is the most democratic institution, but I think the EU needs delegation to clearly defined responsibilities. But the parliament would of course never vote for that.

Nobody listens to the EU judiciary anyway. Just look at mass surveillance, Europe's police and intelligence agencies just operate outside of the law.