You do not need to use your vacation days. You are allowed to go to another country (EU or non-EU country) for jobinterview for up to maximum 5 days, and still receive Unemployment benefits ("dagpenge") for that period.
You can receive unemployment benefits if you can prove that you have an agreement with an employer about an employment interview on a given date and if you return to Denmark within five calendar days.
You must send the documentation to your A-kasse before you leave, and inform them of the departure and departure dates. You must also remember to notify the Job center (Jobnet.dk).
Anders Weber, www.a-kasser.dk