I assume you ask about if its possible as part of the "activation" that your Jobcenter will require you participate in, as unemployed person who receives dagpenge.
Normally it is a short-term internship of up to 4 weeks at either a private or public company.
However, if you are an unemployed graduate with a higher education, you can participate in business practice/internship for up to 8 weeks. It is a condition that you have not had regular employment after your education is completed. And its only possible if you receive unemployment benefit.
If you can convince your Jobcenter that it will make your chances to get a real job better, then I will assume that it could be possible to have this internship in another country. However it is something that your Jobcenter must approve as part of your "Jobplan" that you agree with your Jobcenter about....so please ask them what they think about it.
Anders Weber, www.a-kasser.dk