I would like to see more opinions from the Greenland locals, but I doubt that they want to exchange Denmark with the USA.

I do know that they want to go independent and it seems as if a majority wants to be part of the European Union:

According to a poll (auto-translated):

40 years after Greenland left the EU, the mood is perhaps turning.

In a survey conducted by Nasiffik – the Centre for Foreign Affairs and Security Policy on Ilisimatusarfik – 60 percent of respondents say that they will vote 'aap' if a referendum was held on Greenlandic membership of the EU.

• It is a surprising result that there is now a relatively large majority in the Greenlandic population who believe that Greenland should join the EU, says Rasmus Leander Nielsen, head of Nasiffik.

[...]

https://knr.gl/da/nyheder/flertal-vil-have-groenland-tilbage-i-eu