Okay I did my "research" :)
Short answer: yes there is a difference in prices
I switched VPN servers (getting different IP everytime), used Microsoft Edge in private mode and cleared all cookies and cached data at every new search/ip change.
The search was for 10 days rental, Key West airport, Ford Mustang Convertible
USA - 593$
Denmark - 516$ (no vpn)
Germany - 516
Bulgaria/Brazil/UK - 516$
Australia - 616$
DK - 597$ (no vpn, general website, not location based)
DK - 465$ (no vpn, local website, expedia.dk)
US - 597$
UK - 523$
Enterprise.com (not a search engine)
USA - 596$
DK - 612$
BG - 612$
So after all it seems that without VPN and using the website's local version (expedia.com mentioned above) is actually the cheapest option for me.
It could be coincidence and it could be difference in their terms and conditions but at first glance it is the same deal I am getting from the same rental company.
Thanks to all that had something to say.