I can't seem to find discussion of it being done, so perhaps there's some barrier I'm not aware of, but I believe Sweden should be a plausible route for that. A Dane who lives in Sweden for at least two years is eligible for Swedish citizenship under a special citizens-of-other-Nordic-countries fast track, and, since 2001, Sweden permits dual citizenship. In addition, since 2000, the Øresund Bridge makes it possible to live in Malmö, Sweden, while working in Copenhagen across the strait, so you don't even have to fully move to Sweden, just sleep there.