It is found in the Preamble to the 1957 treaty that set up the EU. On at least six occasions the UK has signed up to it (firstly in becoming a member, and then agreeing to subsequent treaty changes).

So for example, one of the main EU treaties currently refers to:

“the process of creating an ever closer union among the peoples of Europe, in which decisions are taken as openly as possible and as closely as possible to the citizen”.

Notably, the treaties actually say “ever closer union of the peoples” of Europe, not governments. The phrase does not contain the word “political”, and it uses the word “union” with a small u, less suggestive of a formal drive towards a European super-state.