Is the VPN in Denmark? If so, geo-ip would provide this as your location.
I wouldn't say that Flash or Javasript are the only ways that you can be identified, but they would be common and easy ways for you to be identified. Any application running on your system can leak information.
It is also possible that you you are being blocked because you are using a proxy service and the outbound IP address is known as being associated with this proxy service.
Another thing to keep in mind is that your application, browser or other, needs to be configured to use the proxy tunnel, which is probably a Socks proxy.