That is really funny! I never heard of the Oslo saying, but it is obviously the same thing. Actually, now I think of it it is even closer for the real way of saying it is : "Vest for Valby Bakke." Exactly the same as North of Sinsenkrysset.

Here is an example of its use from a newspaper. It refer simply to the rest of Denmark.

Now the Copenhagen suburbs cover all of the land west of Valby, but we still do not entirely call the place Copenhagen. Vestegnen is the word we use and it has a lot of the old Copenhagener snobbery in it :) Their football club is Brøndby IF and in Copenhagen main we have FCK. The worst hooligans in Denmark living 10 kilometres from each other and always in eternal battle.