A lot of Andersen's stories are set in far-off locales. His characters like to travel, and they tend to encounter people from other cultures who are a bit on the strange side (those Finns and their saunas, man!). Other times, Andersen refers to the exotic-seeming customs of other cultures, like funeral pyres in India and Chinese tea-drinking. In the process, he can come off as kinda racist, and even more so when he talks about topics like the coloration of Jewish or Spanish characters. What can we say? In this way, the dude was a product of his times.
What's exotic is only a matter of perspective.
Pretty much everything must've seemed exotic to a Danish citizen of the 1800s.