That New Zealand, the country we were both born, raised and living in, is not in Europe. Edit to answer most of your questions: her reasoning is that when she fills out forms and has to tick a box for her ethnicity, she ticks "New Zealand European". She thought that option was there because we are European and therefore in Europe. I had to explain to her that just means SHE is of European decent. That her ancestors lived in Europe. I also had to explain that not every New Zealander ticks that box. That there are other ethnicities here too.