The story is so far removed from Hans Christian Andersen's original tale that there is no reason to assume its setting or characters are Danish. As I said, the film's own visuals clearly locate the story in a much warmer climate, with palm trees on land and colourful coral reefs underwater. It is, above all, a fantasy in which nationality and race really don't matter.
The actors who've played Bond so far look pretty different from one another. They only thing they have in common is that they're white.