This is one of those things that just is not true, no matter what sort of evidence is presented, because actual humans can go walk outside their door and see it isn't.

Denmark has ranked as one of the happiest countries for years running, but, Dane here, we hoover up antidepressants like it was our breakfast. There are also deep cultural factors at play that make Danes more likely to mask that everything is fine when it isn't. We have an extremely high incidence of cheating on our partners, which, surprise, comes from a talent for deception, both toward self and others, and we are extremely emotionally avoidant, which results in our nationally very high rate of alcohol consumption and alcoholism.

These happiness indexes are a complete sham and don't observe the full spectrum that goes into how cultures present themselves versus lived reality.