A suggestion for merging all tables together. If the data type of that 4th column (Values in your OP) is the same (such as a decimal), then all you need is a 5th column for each table which specifies a category for what the Value column represents. For example, using acronyms: EU, ES, CO2E, CGW.
Add that 5th column to each of the tables as a hard-coded value since every row in each table has the same category. Then append all tables together and each row will have a category which identifies what kind of value is represented by the 4th column. You can then calculate measures for specific categories using filter statements.
If the data types of the Values columns differ, such as one table is text and another is numeric, then you have to stick with separate fact tables, although they could still make use of shared dimensions such as Power Plant or Year (Dates table).
Note that a whole number in one table and a decimal number in another are still effectively the same data type. You use the numeric data type with the greatest precision in the final table and then format as needed.