I've experienced the same thing traveling from KRS to USA. I've tried to book KRS-CPH-ARN-XXX online and over the phone, and the response I've always been given is "its not a natural routing," or "the connections are too tight." However, depending upon the timing I've been able to get this itinerary via Orbitz or other "discount" airfare sites. I find it ironic that other websites/companies can obtain these routings at pretty much the same price as the standard "via OSL" routings, but it does depend upon the timing (which I assume is dependent upon current ticket sales) as I have not always been sucessful in obtaining this routing.
Recently, however, I've been more concerned with being able to not have to take the 6:15 flight to CPH and being able to sleep later than 4am, as well as having a shorter total travel time, especially on the way back from the US.