I often wonder myself about the full extent of "Eorzea". We know that it's part of the continent of Aldenard, but in contemporary usage, it seems to refer only to the realm formed by the six "modern" city-states of Ala Mhigo, Gridania, Ishgard, Ul'dah, Limsa Lominsa and Sharlayan.
Meaning to say, the northern parts of the continent, like Xelphatol and the Farreach, don't seem to be part of the realm, and islands like the Ciedalaes and Mazlaya also don't seem to be part of Eorzea. I reckon though that these regions are, at the very least, culturally influenced by the city-states, if not under their direct political control. I reckon, for example, that the Ciedalaes, are under the thalassocracy's protection, as implied by the Maelstrom's
organisational chart: the Sixth Squadron is named after the Ciedalaes.
To a certain extent, the question of which countries belong in Eorzea mirrors our own real-world queries over who belongs in "Europe". Is Turkey, for example, part of Europe or Asia? Or both?