Why do we say "Eastern Europe" but "East Asia"?

My girlfriend, who is not a native English speaker, asked me this yesterday: why are some geographical regions prefixed with the nouns North, South, East and West, but others are prefixed with the adjectives Northern, Southern, Eastern and Western?

For example, it's far more common (to my British ear at least) to hear people talking about "Eastern Europe" and "Southeast Asia" than the alternatives "East Europe" and "Southeastern Asia."

Why is this the case? I couldn't think of a convincing explanation. Is there a hidden logic that I can't fathom, or is it just one of those wierd idiomatic things?

South East Asia is the name of a defined sub-region of Asia with a defined identity, united politically through ASEAN - Association of Southeast Asian Nations - and is further sub-divided into maritime and mainland SEA.

Eastern Europe, on the other hand, is not a name, and has no political unity or identity. It is an undefined (or a best only vaguely defined) general reference to the eastern part of the Europe.

Compare with South Africa as the name of a country, and southern Africa which is a general reference to the southern part of the continent.