How the hell am I supposed to pronounce an O with a line through it?
I think the first is most accurate, but it's not a letter we pronounce in English. Danish, yes. English, no.
It was hard enough to figure out how to type it! (Alt-0216 on a Windows keyboard, by the way).
That doesn't matter right now. What matters is that she is making smart music - electronic pop music with teeth. Best known in the US for singing on an Iggy Azalea tune, MØ is making good music on her own.