Oh, you want to be pedantic? Let's be pedantic, then!
Scandinavian languages don't have "umlauts". "Umlaut" is a concept from German, where vowels are modified into different forms and marked with an umlaut mark. Other languages, however, just borrow these typographical forms to represent vowels with similar sounds. However, while German considers the vowels a and ä to be variations on the same letter, Scandinavian languages consider these to be separate letters entirely, and place them differently in alphabetical orderings.
Thus, there is no "umlaut" in Eyjafjallajökull, there is merely an "ö" rather than an "o".