Boring (but accurate) answer:
Countries participating in Eurovision don't need to be in Europe. The qualifying criterion is that the national broadcaster in that country must be a member of the European Broadcasting Union.
The EBU, as the name implies, was originally a confederation of broadcasters within Europe but, with advanced broadcasting technologies and 'internationalisation', broadcasters from further afield have been admitted into membership.
It's rather like Turkey- which is largely in Asia - seeking membership of the European Union. Morocco -in Africa - has made tentative moves towards joining. It will still be called the 'European Union' irrespective of the geographical location of the member countries.
Chris