Seems simple to me:
i. go and wear a helmet there,
ii. go and not wear a helmet and potentially get fined*, but don't complain about it as you knew and made the decision yourself, or
iii. don't go at all.
I understand that different countries have different laws, and unless there's an urgent safety issue, my take is you should respect their laws as you are a guest in their country. You may not agree with them, but hey, it is their laws, even if they may be seemingly trivial, illogical or ineffective.**
*I could easily see given some of the responses here how this could escalate to jail though with a belligerent cop -you get fined, then they say no cycling without a helmet, then you cycle as soon as they are out of sight, until you get round that corner...
** full disclosure here
went to Ontario cycling where I think a bell is required, I was fully intending to get one, but just forgot. Had I been stopped and fined, I'd have just accepted it as my fault and moved on. Though again, I wonder if some of these relatively trivial laws are subject to police officers having bad days or people giving them a hard time....