Do EU rules allow for a PSO route to be between an EU and non EU/EEA/single market destination ?
That's an interesting question. Regulation (EC) No 1008/2008 Article 16's verbiage on PSOs is focused solely on intra-Community services, which are biddable only by Community carriers and:
between an airport in the Community and an airport serving a peripheral or development region in its territory or on a thin route to any airport on its territory any such route being considered vital for the economic and social development of the region which the airport serves.
So it suggests that PSOs are only accepted as distortion of trade where they serve the purpose of connecting airports within Community territory.
EUR-Lex - 32008R1008 - EN - EUR-Lex