The electoral college (and similarly, the now defunct election of US senators by state legislatures) only seems unnatural in the context of what states have become. They're no longer sovereign states with a central federal government that takes care of a very important but limited set of things. They're now closer to administrative districts in many respects.
edit: I mixed up my EU facts below. The European Parliament is filled by direct election. It's the Council that is elected by the executive branches of member states, and is thus more analogous to the US Senate before switching to direct election. The EU is complicated for my American brain to keep straight! I still might have some of this wrong.
Compare the electoral college to the European Parliamentary elections, which are decided not by all EU citizens but by the Council, or the President of the European Convention, who is elected by the European Parliament.
They're no longer sovereign states with a central federal government that takes care of a very important but limited set of things. They're now closer to administrative districts in many respects.
In other words, they are states -- as opposed to nations (as per your EU example).
edit: I mixed up my EU facts below. The European Parliament is filled by direct election. It's the Council that is elected by the executive branches of member states, and is thus more analogous to the US Senate before switching to direct election. The EU is complicated for my American brain to keep straight! I still might have some of this wrong.
Compare the electoral college to the European Parliamentary elections, which are decided not by all EU citizens but by the Council, or the President of the European Convention, who is elected by the European Parliament.