I'm nitpicking, but "land of ice and snow" DK is not. Snow does occur occasionally, but it quickly melts, even in Copenhagen (which is in the coldest part of Denmark). The country is roughly comparable to New Jersey in terms of winter climate.
Led Zeppelin's "land of ice and snow" was Iceland, which, ironically, isn't too icy or snowy either (along the coast). The band toured in Reykjavik in June 1970, when, naturally, there wasn't a snowflake in sight for miles, and used their experience to inspire the song. They probably thought it was snowy in winter. Or maybe they just liked the words.
The only European capitals outside former Soviet Union with permanent snow cover in winter are Stockholm, Helsinki and Warsaw.