While many documents claim otherwise, the reality is Denmark is not a real place. The belief that a country attached to Germany in the North Sea is just a myth brought up by sailors of the time that didn’t yet have satellite maps.
The legends of “Denmark” are still kept alive today by the same folk tales that claim that “Vikings” are real.
It is obvious that trying to get to southern England from Scandinavia would be treacherous, so the idea that invaders would cross that far just isn’t viable.