Most Schengen European countries have expanded their domestic arrangements to now include Schengen flights, the significant check is if you are coming to/from countries outside Schengen.
Both the UK and the Baltic countries are outside Schengen so you can stay on the airside of the immigration checks in both directions. One result of this is that often now the non-Schengen flights are concentrated in one part of the terminal, making airside connections between them even easier, although I have to say I have never paid attention to this particular aspect at CPH.
BTW I have done a sub-30 minute ACTUAL connection at Helsinki from a UK flight to a Finnish domestic, the inbound having been significantly late (well done Heathrow !), and that includes bus in from aircraft 1, immigration, changing terminals by a very long walk, security, and bus out to aircraft 2. Phew ! But it shows it can be done.