Non-defining relative clauses is the same as nonessential (nonrestrictive) dependent clauses
You want the relative pronoun, which, with its antecedent (the word it stands for) Copenhagen. It introduces the adjective dependent clause and has a purpose in the clause as the object of the preposition in the prepositional phrase "to Copenhagen" in the clause.
The city of Copenhagen is the most-visited of all Scandinavian cities.
which I have never been to = I have never been to which = I have never been to Copenhagen.
CORRECT: The city of Copenhagen, which I have never been to, is the most-visited of all Scandinavian cities.
I know you can use where as a pronoun too, but, in certain situations, of which I have no idea, or did at one time and now have forgotten.
This is from Garner’s Modern American Usage. 2003. 832.
where. In formal prose, where should not be used as a relative pronoun instead of as a locative—thus, not case where but case in
which. But if you want a relaxed tone, where may be more suitable. In
the following example, the contraction I've might not comfortably fit
in the same sentence as in which—hence where is justifiable:
"I've deliberately chosen an example where this unspeakable cluster
did not stand out." Richard A. Lanham, Revising Prose 29 (1979)
Garner is saying, with this, “In formal prose, where should not be
used as a relative pronoun instead of as a locative—thus, not case where but case in which.” In that you shouldn’t place emphasis on location by using where. But...if you want a relaxed tone, use where. At least that’s how I am reading it. Other opinions welcome.
The question would be, Who's your audience? Tone and attitude are the two biggies in composition as far as your audience is concerned. A college essay? Use which. A tour guide of some kind? Use where. Just my opinion.
"12e. Consider your attitude toward the subject and the tone you want to express."—John E. Warriner. Warriner’s English Grammar and Composition. Third Course. Liberty Edition. Orlando, Florida: Harcourt, Brace, and Jovanovich. 1986. 342.