The correct answer is: Brussels.
Brussels is the de facto capital of the European Union. It is home to the European Parliament, the Council of the European Union, the European Commission, and the Court of Justice of the European Union.
Paris is the capital of France and the most populous city in the European Union. It is home to the French government, the French Parliament, and the French Supreme Court.
London is the capital of the United Kingdom and the second most populous city in the European Union. It is home to the British government, the British Parliament, and the British Supreme Court.
Rome is the capital of Italy and the third most populous city in the European Union. It is home to the Italian government, the Italian Parliament, and the Italian Supreme Court.