No because that would cause world wide people to buy EU phones just for the third-party stores even if they live in other countries.

the law that apply to a phone is the law of the country you are at the moment.

Third-party store are there because an EU law that only apply to EU territories.

If you are out of the EU the law does not apply and Apple is not required to give you access to third-party stores.

The alternate is this distopia where a megacorp decides how long you get an alternative, possibly only until the moment you step outside the zone. Or even the moment you turn on a VPN.