COPENHAGEN—Health authorities in Denmark, Norway, and Iceland on Thursday suspended the use of AstraZeneca’s COVID-19 vaccine shots following reports of the formation of blood clots in some people who had been vaccinated. Austria earlier stopped using a batch of AstraZeneca shots while investigating a death from coagulation disorders and an illness from a pulmonary embolism. Still, the European medicine regulator EMA said the vaccine’s benefits outweighed its risks and could continue to be administered. Europe is struggling to speed up a vaccine rollout after delivery delays from Pfizer and AstraZeneca, even as a spike in cases amid a more contagious virus variant has triggered fresh lockdowns in countries like Italy and France. Denmark suspended the shots for two weeks after a 60-year-old woman, who was given an AstraZeneca shot from the same batch used in Austria, formed a blood clot and died, Danish health authorities said. Their response was also …