Shipping pellets from the U.S. to Europe wouldn't make sense. It would cost too much. I am quite sure you can buy pellets in Europe though. I feed my birds Harrison's and Totally Organic Pellets, both of which I consider to be good brands.
(Side note: can you please tell me the names of European pellet brands you have heard of that might not be well known in the U.S.??? I have an ongoing project where I post all of the ingredients in every brand of pellets so people can easily compare the ingredients. So far I have Dr. D's, Goldenfeast, Harrison's, Kaytee, Lafeber's, Mazuri, OptiBird, Oven Fresh Bites, Pretty Bird, Roudybush, Totally Organic Pellets, Tropican, Tropimix, UnPellet Mix, Vetafarm, Wombaroo, Young Again, and Zupreem.)
I checked out the websites for Harrison's and Totally Organic Pellets and found some info on where to buy them in Europe. There are only two European listings for Totally Organic Pellets, one in England and one in the Netherlands. Not sure what the shipping charges would be but I would hope it is cheaper to ship stuff to Denmark from England or the Netherlands than from the U.S. Here is the link for the Totally Organic Pellets listings:
http://totallyorganics.com/support.php#EuropeHarrison's is available in more European countries than I feel like retyping here. Here is a copy of their "Overseas" listings.
Australia
Austria
Belgium
China
Czech Republic
Finland
France
Germany
Hong Kong
Italy
Japan
Luxembourg
The Netherlands
New Zealand
Norway
Puerto Rico
Slovenia
Spain
Sweden
Switzerland
Taiwan
UAE
United Kingdom
So you should definitely be able to find these brands if you want to try them. They may even send you samples if you ask nicely, I'm not sure. Here is the link for Harrison's pellets:
http://www.harrisonsbirdfoods.com/buy/index.htmlAnd the numbers for the respective companies:
Harrison's - 800-346-0269
Totally Organic Pellets - 866-867-2473
Hope this helps!