Slop.

It's an interesting history but it kind of boils down to:

1. Pagans flee Norway from religious persecution, settle Iceland
2. Pagans establish democratic society
3. Leaving means falling under jurisdiction of a Christian kingdom
4. And life is just as shitty elsewhere

Eventually Iceland converted to Christianity and became a formal territory of Norway and then Denmark later, but at that point the inhabitants had been there for centuries and it was their land and home. Many were too poor to leave regardless, and many owned substantial immovable resources like herds of sheep or horses, or swathes of land.

And then later an Icelandic nationalism movement led to national pride in their identity as Icelanders, not as danish subjects, and that led to an independence movement which eventually led to an independent Iceland.