Few of SEPA members have autonomous regions which are them selves not members of SEPA, I do wonder if making transactions between the autonomous region and the rest of the country, as well as to a different SEPA member is any harder. For example I can’t imagine it would be difficult to make a transaction between Thorshavn in the Faroe Islands and Hirtshals in Denmark proper, or to Oslo or Reykjavík for that matter. But a transaction between North Nicosia to Nicosia in Northern Cyprus and Cyprus respectively may be a different matter.
Here's a fun timeline to walk through how it developed and why it's been, while not trivial, implemented with a kind of structural uniformity to keep the problem space contained.
https://www.europeanpaymentscouncil.eu/about-sepa/sepa-timel...
- https://en.wikipedia.org/wiki/Single_Euro_Payments_Area
I don't know if I'd call that a "unified economic zone" without some qualifications.