Indeed, this cannot be done: no (nonempty) open set in $\mathbb{R}^n$ can be written as a countable union of disjoint closed sets. This is a consequence of the Baire category theorem; GEdgar's answer to this question gives the details.
Let me give more details.
Suppose for a contradiction that $U\subseteq\mathbb{R}^n$ is open and $U=\bigcup_{n\in\mathbb{N}} C_n$, with $C_n$ closed and $C_i\cap C_j=\emptyset$ for $i\not=j$.
Let $B_n$ be the boundary of $C_n$, and $B=\bigcup B_n$. (Formally, the boundary of a closed set is the set of all points in the closed set which are not in the interior of the closed set; note that a closed set can be equal to its own boundary, as in the case of the Cantor set.) Then you can show that:
But this is a contradiction, since by the Baire Category Theorem no complete metric space is a countable union of nowhere dense sets.