An attack on Denmark would most likely mean the end of NATO and have a massive impact on the already damaged relationship with Europe. The EU would be forced to respond in one way or another. Even a megalomaniac like this bastard can't be stupid enough to accept that.
This is either a distraction or an attempt to put pressure on Denmark in order to gain leverage in negotiations.
Of course, it is still absolutely true that the US under this absurd Nazi regime poses a considerable threat to world peace. The regime devalues international law with its ruthless acts, leaving only the law of the strongest to apply, which is of course an enormous step backwards for civilization - even though the UN, also largely due to the US, has never really taken it seriously.