Loads, including Hawaii and England for North Korea, and Spain for Cuba. Justified Trope since those are still Communist nations.
Despite fears that the ice would melt and force filming to be moved out of Iceland, the film crew managed to avert this and stick around for those scenes.
Franchise Killer: An unusual example, as money-wise it was at the time the most successful James Bond film by quite some distance. Its catastrophic critical reception, however, was arguably the sole reason why the Bond franchise was rebooted come the Daniel Craig era.