How is 'Zealand' an island? I assume you're referring to Zeeland, which is a province with multiple islands, including Noord-Beveland, Goeree Overflakkee etc.
Sao Miguel is in the middle of the Atlantic - if you include that, then you need to include Madeira and the Canaries. In my opinion, none of them are "European".
Not really, Nige. If you make the assumption that everywhere has to belong to a continent, then Azores fits naturally into Europe and Madeira and the Canaries into Africa.