Jørgen's Iceland

In 1809 Jørgen Jørgesen, a privateer in the royal navy, lead a coup in Iceland with the aim to establish it as a protectorate of the British Empire. However though he succeeded in his coup two months later the ship HMS Talbot arrived at the island and liberated the colony, quickly returning it to Denmark, with Jørgen facing punishment for breaking his parole. But what if Britain didn't return the colony to Denmark? how would this affect the history of Europe? Well dear reader the answers you seek lay just below