Why don't the US, Canada, Europe (EU), Australia and New Zealand become a single country?

Not quite the same culture.  All of them have their own history which influences what issues matter to them.  The last thing that Americans would want is a North American Union much less adding in Australia, New Zealand, and the U.K.  (And all of those are at least somewhat descended from the British Empire.)

While some things are changing, the left of centre parties in Australia, New Zealand, the U.K., and Canada are far to the left of the Democratic Party while the right of centre parties are not that far to the right of the Democratic Party.  Quite simply the Liberals in Canada and the Republicans in the U.S. would hate being part of a North American Union as both would have to toss out much of their agenda.  

America should be a single country.

The EU will be surprised to find that its member nations all speak English. But as a US person I think I can safely say that none of these countries want to be part of us right now.