There is a third side, and I believe they implied they will be moving in soon. In eps 23, they showed a Chinese leader from the backside (the very distinctive southeastern mountains of China in the background). Weak portions of the Chinese Federation have already become involved, but were quickly removed. Also, there is no EU. The world is either Britannia, the Chinese Federation, or Japan (Russia, Africa, and South America are not shown, but even if they aren't already annexed, they are apparently of no importance).
I'd also rather not see Cornelia die, but I think it's bound to happen. Even if she finds out Zero is her long lost half-brother, he also still killed Euphemia.
I'm more worried about Viletta...