If they did so, there would be tariffs from their client nations. Then they'd bribe the tariff countries... which is what they're doing now, anyways. So why go through all the trouble of owning a country?
You need to read the mars trilogy by Kim Stanley Robinson. Part of the story is about "metanationals", multinationals that become so rich and powerful they can basically buy a country.
And then where they would see their products, if not by having to pay taxes in the countries where they would ship those products from their own tax free country?
I don't think you get the issue here, a company in the USA can't just come to EU and sell their products without paying taxes... much less a company from a non existing wannabe country.