1)  The Members of the European Union are listed in Article 52 Par. 1 of the Treaty on European Union and the Treaty on the Functioning of the European Union (http://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:12012M/TXT&from=EN). Croatia is also included in this list by way of its accession treaty, which was signed after the entry into force of these treaties.
The Members States of the EEA are set out in the "AGREEMENT ON THE EUROPEAN
ECONOMIC AREA" (http://www.efta.int/media/documents/legal-texts/eea/the-eea-agreement/Main%20Text%20of%20the%20Agreement/EEAagreement.pdf).
For the members of the OECD see www.oecd.org.
2) Article 180 Par.  2 and Article 187 Par. 3 of Commission Delegated Regulation (EU) 2015/35 set out a specific treatment for exposures (in the form of bonds and loans) to Member States' central government denominated and funded in the domestic currency of that central government.
The mentioned entities may be part of a Member State but they are themselves not separate Member States. Consequently, the governments of the entities listed cannot be considered as Member State central governments. In certain cases exposures to these entities may though qualify for the treatment set out in Article 109a Par. 2 (a) Solvency II (see also link below)
http://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32015R2011&from=EN