The magnets are almost certainly from China.

The top copper producer in the EU is Poland so that's a possible source of copper. They're pretty far down the list though so it's likely that a large part of the copper is coming from places like Chile (top producer in the world).

Mostly Latin America afaik but copper re-use is so high that it is hard to tell what the original source is.

> Is the wire made in the EU and coated with insulator there too?

Not in the EU but close by.

> Are the motors wound in Europe?

Yes, there are multiple drone motor manufacturers in Europe now. Annual production is in the millions.