If you want to use the English speech recognition engine but say Danish words, then you can try to spell the word phonetically to simulate the sound.
for example, (I am using Google translate since I don't speak any Danish).
If you want a command for "luk vindue" ("close window") you should write your phrase in VoxCommando as:
Look Windoo
I am guessing that "Look Windoo" will work based on the sound file that google translate plays for me.
Using this method you might get acceptable results for regular commands. You will run into trouble though for payloads such as artist names, ranges of numbers etc.