It's mostly a matter of preference. While the word 'country' is often used interchangeably with 'sovereign state', it's not like the word is reserved only for that use. In the UK, country is just the word that they use for the major administrative divisions, similar to states, provinces, prefectures, and the like.

It is true that that preference reflects the historical status of those regions as independent kingdoms, but that is not something that is unique to the UK (Hawaii, Bavaria, Sicily, Saxony, etc)