In many cases they could. But the economics aren't that great. The storage hydro already provides pseudeo-pumped storage, becase they're seasonal, and they meet primary domestic demand.

So, whenever, say, Denmark's got a surplus of energy (and that's almost always because they're running their thermal plant so high; it's only due to too much wind for a few dozen hours per year), they can export to Norway/Sweden, who then turn down the output from storage hydro a bit, and use Danish power instead.

So, let's say Norwegian demand is running at 15GW, and that's supplied by 15GW of hydro - some run-of-river, some storage hydro. If Denmark's exporting 1GW, they can just turn down the storage hydro by 1GW. That way, their storage hydro acts as a pseudo pumped-storage anyway, because it's time-shifting its output.

So, they'd only need to consider building actual pumping facilities, once their total power imports exceed domestic demand.  They're not there yet. But if a dozen countries each fancied a few GW of interconnector with Norway, such that net imports to Norway might exceed domestic demand frequently, then the business case might start stacking up for retrofitting pumping facilities.