The construction of the plot is non-linear, seeing as it does not exist in time and space. Sometimes one character will not notice that there are other people in the space, and speak as if to no one. The world that Frayn presents is outside of our conceptions as audience members, simply by virtue of the fact that no one attending the play has ever died. So the world in which Copenhagen is based is somewhere between heaven and an atom.
It can also be thought to exist "inside the heads" of the characters present. It is a subjective world, taking and manipulating history, picking apart some events and mashing others together to better compare them. The characters are all plagued by some form of guilt or another, particularly in reference to the atomic bomb, and they are trapped in this world, doomed to forever speculate on that evening in Copenhagen in 1941 to determine how the world might have been changed. These are all traits of the artistic style known as Expressionism.
In his preface to A Dream Play, August Strindberg notes that in these worlds, "everything is possible and probable. Time and space do not exist. Working with... real events as a background, the imagination spins out its threads of thoughts and weaves them into new patterns." Copenhagen is an embodiment of these principles.