I think you might be referring to the hreflang code.
".DK" is the international TLD version for Danish language so all the Danish domains will have ".dk" at the end, but for hreflang codes, the official recognised and established code for Danish is "DA" (hidden link).
I don't recommend that you change it because it could cause issues with Google as it won't know what language are you using on the site.
You can change the hfreflang from WPML > Languages > Edit languages > you have a "hreflang" column.