> Why is Denmark so high up for example, generally considered the country in the world with the highest tax pressure, and without any substantial natural resources.

It isn't the country with the highest tax pressure, e.g. Denmark government revenue is 36% of GDP, approximately equal to the UK, vs. 44% for France or 48% for Greece:

https://en.wikipedia.org/wiki/List_of_countries_by_governmen...

But the major source of variance in the numbers is that it not only matters what the tax rate is, it also matters how effectively you spend the money.

Suppose a government with the level of competence of Denmark would have an optimal tax rate of 20%, i.e. that's the point at which the low-hanging fruit is gone and additional spending starts to become net negative. That doesn't mean it's enormously net negative, when the government is more competent and efficient than average the loss could be small, so that Denmark at 36% might still only be slightly worse than breakeven compared to the lower tax rate.

Meanwhile a different government has the 20% tax rate, but three quarters of the money is lost to corruption or incompetence instead of funding the beneficial programs it should have been, so they could be worse off because high levels of corruption and waste can be as bad as high taxes.

The worst case is, of course, when you do both and have a high tax rate which goes to a government with a high level of corruption, which is what you see in e.g. Greece. But this is also what tends to happen in any place with a less efficient government that tries to solve it by raising taxes. The inefficiency that was the cause of the problem to begin with then gets more money to set on fire and that makes it even worse.