Are you sure you haven’t modified the JSON files in BillingExtension/core/BillingExtension_Admin/resources/country, or changed the tbltax table in the WHMCS database at any point?
I ask because Greece is correctly displayed with the ISO code GR and listed under Europe. The only place where the module uses the value EL is for VIES validation, as required, since Greece is represented as EL in the VIES system.
As for the Canary Islands, they are not an EU country but a region of Spain, similar to how Normandy is part of France. If, as I assume, you need to handle tax rules for Las Palmas and Santa Cruz de Tenerife (special tax regimes of Canary Islands), you need to click the orange button next to Spain.
From there, you can configure the specific tax settings in the modal window. Tick checkboxes to make them tax exempt.
That said, given your question, specifically, how to treat the Canary Islands as an Intra-EU country even though, as mentioned earlier, they are not a country but a region of Spain, it leads me to suspect that you may have manually modified the tbltax table in WHMCS at some point. This is likely the root cause of the issue. The table should look like this with both regions defined as state under the same country, Spain (ES).
In any case, when using only the BX interface for managing Tax Rules, no issues should occur.