The answer on this topic differs between pension funds. Some pay back if you live outside EFTA or the EU. Others make no different and say:


Icelandic citizens and citizens of the EEA countries will not be refunded their pension fund premiums when they leave the country. They maintain their accrued entitlements in their pension fund and can apply for a pension in the same way as other fund members when the time is ripe.

A fund member with citizenship within the EEA at the time when pension fund payments took place has no right to a repayment of contributions. A member with double citizenship, one within the EEA, has no right to repayment of contributions.  


In our opinion the best way is to contact your pension fund and ask. However don't get your hopes up high.