A state is a country. Each state has it's own Constitution and legislature, differing laws, and customs. When states operate under a common theme for commerce and mutual defense they are said to be "united".
Any continent with an assemblage of countries can and probably does have this to some extent. There's no obligation for a state to join such a collective thus Canada did not become a part of the United States of North America. North America is simply the name of the continent where Canada is located.
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