Step 1: Read what is asked.
We need the country or region that approved an assisted dying law for terminally ill adults in May 2025.
Step 2: Recall the news.
In May 2025, lawmakers passed a landmark assisted dying bill in the United Kingdom.
Step 3: Narrow it down precisely.
The law specifically covered England and Wales, not the whole UK at once.
Step 4: Check the other options.
France, Australia, and Canada already had their own separate timelines and were not the first in this case.
Step 5: Confirm the choice.
The correct match is England and Wales.
Step 6: State the answer.
The answer is England and Wales. \[ \boxed{\text{England and Wales}} \]