If you can't find hazelnuts, look for filberts. Very close relative to the point fo being almost the same thing. If you can't find filberts, oh well. Actually there's a thing called a "cob nut" which is a very close relative to the other two, but you don't see them much. I've never had the opportunity to try one.
Hazelnut is very distinctive. Other than the filbert, I don't think there's anytihng else which tastes much like it. You didn't mention macadamia as being available, but that would be my next choice.
If you use pecan or walnut -- make sure they are well hulled. You don't wany hull at all. You may even want to blanch them, and rub them yourself just to be sure. If you do, you'll have to dry for a couple of days before (lightly) toasting and grinding. California walnuts can occasionally be bitter. Much as it pains me to say it, it's safer to use English or black walnuts.
Cashews are easily avaialble in your part of the world, aren't they? Again, a very distinctive nut. Not what you'd call typical for Danish pastry, but I can't imagine it would do any harm. Cashews are very oily. When you grind them, be careful not to process too long or heat will build up, force the oil out, and you'll end up with cashew butter. Adding the sugar before the nuts are ground to flour will help some.
If you're making your own paste, remember to taste for sweetness several times along the way.
BDL