Kosovo is a country as it is independent, like all the other countries of the world...
Palestine is a nation, a nation of people, that is legally defined as being an occupied territory of Israel - a status it recognises itself. Governments which have recognised it as independent are crazy, with false and corrupt motives. How can you recognise a nation as being independent when it itself does not recognise it?!!!
Gibraltar hasn't participated in the Games up to now, but it is able to. If that example doesn't suit you, look at the British Virgin Islands (a British territory), American Samoa (an American territory) and Aruba (a Dutch territory), which all participated independently in the 2012 Olympic Games despite not being independent themselves. Or India's participation prior to independence from Britain in 1947. Participation of the Olympic Games does not mean you're any more qualified for participation in Eurovision.