This connections takes a little research:

No movie explicity pinpoints the real world location where it takes place. We know that Tangled takes place in the Kingdom of Corona. According to Disney Wikia:

By looking at five things: architecture, nature, landscape, politics, and the styles of dress in Tangled, the best fit for a real-world Kingdom of Corona would be along the Baltic Sea coast of Germany and Poland at some point from 16th to the 18th century.

Frozen is a little more straightforward:

The name "Arendelle" is based on the Norwegian town of Arendal, located southwest of the Norwegian capital, Oslo. In Norwegian, "Aren" means "eagle", and "delle" is most likely derived from "dal" which means "valley."

And The Little Mermaid story was written by Danish author Hans Christian Andersen. There's even a Little Mermaid statue in Copenhagen.

So Corona = Germany. Arendelle = Norway. And The Little Mermaid takes place off the coast of Denmark.