Its a teeny tiny little state.
Also, remember, regions =/= states.
States are a grouping of provinces, while regions are a grouping of states.
That and Luxembourg will probably be 1 province in the state of something something Southern Benelux in the region of Western Europe. Same as Munich is 1 province in the state of Bavaria in the region of Central Europe.
More likely to be Luxemburg>Luxemburg>Benelux; the regions are reasonably large, but not hilariously so. Based on the World War Wednesday videos, the British Isles appears to be Southern England, Northern England, Scotland + northern ireland, and ireland. I believe France and Germany also have North/South splits, with North Germany including Denmark.
edit: and some more research suggests a West/NW/NE split for Germany... which is odd because West seems to include the whole southern part.