Philip did a good job on the first three countries, but I think there's a bit more to the joke about Denmark. I think it's a reference to the Law of Jante (or Janteloven in Danish), which are 10 rules that appeared in a satirical novel. Those rules, as listed by Wikipedia, are:
- You're not to think you are anything special.
- You're not to think you are as good as we are.
- You're not to think you are smarter than we are.
- You're not to imagine yourself better than we are.
- You're not to think you know more than we do.
- You're not to think you are more important than we are.
- You're not to think you are good at anything.
- You're not to laugh at us.
- You're not to think anyone cares about you.
- You're not to think you can teach us anything.
While these rules are all good fun (they appeared in a satirical novel after all), they have also been mentioned in articles talking about high suicide rates in Scandinavia. In addition to that, they don't seem very upbeat to me (as someone who's not from 'The North').
Now, you might think this is a bit of an obscure reference, but it's actually made an entrance in (American / Western) popular culture on multiple occasions.
Firstly, Wikipedia lists a reference on the Late Show with Stephen Colbert:
When interviewed during episode 646 of The Late Show with Stephen Colbert, broadcast November 9, 2018, Swedish actor Alexander Skarsgård explained that although he had recently received an Emmy and a Golden Globe Award for a lauded performance, the inhibitions induced by the Law of Jante prevented him from boasting of the accolade.
Secondly, there's an article by Quartz titled The happiness of the Danes can easily be explained by 10 cultural rules, which is a direct reference to the Law of Jante.
Thirdly, BBC Ideas did a short video on Jante Law.
Fourthly, The Atlantic wrote a piece on it:
On the face of it, the Danes have considerably less to be happy about than most of us. Yet, when asked, they still insist that they are the happiest of us all.