Iceland would be rather easy for the Germans to get early in the game, but nearly impossible to keep long term. If you stage ftrs at Iceland to scramble to protect your navy, you would also need ground units placed in Iceland to protect your air units. The UK and US are able to double hit you (turn order) possibly having the USA overpowering your navy/air, then UK invading Iceland by sea to clean up. The US could even SBR your air base from London (using a carrier to bring in ftrs as escorts) and allow the UK to kill off any naval units you have there w/o air cover. Plus you would be dedicating a lot of resources at a fixed location for very little gain that would be better spent elsewhere giving you a dual threat.
Utilizing the W German air/naval base allows you to keep fleet in the North Sea (sz112) and buying a carrier would give you much more flexibility IMO. From there you can threaten Iceland, Gibraltar, England and Russia directly and you can also seek refuge in the Baltic if things get out of hand.