At the beginning of the movie we are informed that this is Copenhagen 1926, but a bit later in the movie, when Gerda opens the letter from the first doctor that examined Elbe/Lilly, it is dated 1925.
When Lili meets Henrik for the first time at the dance, Henrik invites Lili to leave. When they are standing at the top of the stairs, Henrik reaches out and takes Lili's right hand to escort her down the stairs. When the shot cuts and returns and they begin to descend, Henrik is holding Lili's left hand.
In many of the outdoor scenes, on the streets of Copenhagen, the overhead streetlights that can be seen were not manufactured and installed until 1977.
When Gerda and Hans meet in the gallery, a modern orange alarm is clearly visible.
Rasmussen's pince-nez have a modern anti reflective coating on them which is visible in the art gallery scenes. The ARC would not have been available during this time period.
During the last scene, when Gerda and Hans are standing by Vejle Fjord, mountains are in the background. Denmark has no mountains. That scene was filmed at the Mount Mannen in Norway.
When Gerda and Lili enter their apartment building in Paris, the large church in the background is the Frederik's Church in Copenhagen, commonly called Marble Church.
When Gerda and Hans (the childhood friend from Vejle) are going to meet for dinner for the first time, we hear Gerda announcing this to Einar by saying they are meeting "chez Dauphine" (in Paris of course). The next scene is in the restaurant, and they (Gerda and Hans) are sitting by a window, where the name of the restaurant, Falstaff (a very well known restaurant in Brussels. opposite the Bourse) can be clearly seen written on the outside side of the window (and thus reverted) for most of the scene. Most of the Paris locations are shot in Brussels, and appear in the final credits, however, strangely enough, not the reference to the Falstaff, which is so evident in that scene.
Lili is a tall, thin, stylish woman dressed in lovely feminine clothes. She spends time using eyeliner and lipstick, yet she does not have eyebrows to match. It is highly unlikely that she would not have them shaped to accent her features. Gerda surely would have helped Lili accomplish this.