State, country, county whatever - Im not native english, so I might use the wrong terms. UK is a single state, as is germany. England is a part (country, whatever) of that, as is Bavaria or Saxony in germany. So what?
No, Bavaria is a state or region of Germany. Germany is a country. The United Kingdom/Great Britain is made up of four countries (England, Wales, Scotland and Northern Ireland).
Think of the United Kingdom as a little mini Empire, or as it says on the tin... A Kingdom.