Square in Cairo built with aid initially from country in the European Union (7)
I believe the answer is:
croatia
'country in the european union' is the definition.
(member of the European Union)
'square in cairo built with aid initially' is the wordplay.
'square' becomes 'T' (a T-Square is a technical drawing instrument).
'in' means one lot of letters goes inside another.
'built with' indicates anagramming the letters.
'initially' suggests taking the first letters.
The initial letter of 'aid' is 'a'.
'cairo' with its letters anagrammed with 'a' gives 'croaia'.
't' inserted within 'croaia' is 'CROATIA'.
'from' is the link.
(Other definitions for croatia that I've seen before include "Split country?" , "Balkan republic, capital Zagreb" , "European republic, became independent in 1991" , "Country of S. Europe" , "Balkan country, capital Zagreb" .)