There are different routes into the EU, so an EU company isn't the only option, particularly if you only need partial access to the single market.
If you exclusively sell goods valued at under 150 EUR to EU clients, then the IOSS scheme will suffice.
Fiscal Representation can also be a good option for warehousing and distribution to ensure VAT compliance.
However, for full access to the EU market, you need to set up an EU entity, so set it up in the optimal country to distribute your goods to the biggest single market in the world... on your doorstep! The Netherlands!