That is not very accurate. The idea has been proposed (primarily by Lotte Hedeager in 'Iron Age myth and materiality' and 'Scandinavia and the Huns'), but this is not widely accepted. The suggestion is based on very dubious name-similarities between Hunnic leaders and names in the sagas, but primarily on the occurrence of plain gold earrings in Scandinavia, which she interprets as signs of Hunnic identity. This is highly problematic, because there are dozens of reasons one can think of why a plain gold earring can end up in Scandinavia without jumping to the conclusion that it must have been due to conquest of the Huns (import of marriable women from the south is the most likely one, criticising the 'hunnicness' of the earrings is another). Another possible source is the reference from Hunnic informants in the Byzantine empire who claim that their realm stretches up to the Northern sea (which must be the Baltic), but the reliability of at least third-hand information on this is highly problematic as well.

If we look at the Hunnic empire itself, it also doesn't make much sense. The Hunnic empire was not simply a conquest by steppe peoples, like the later Mongol conquests, but more like a confederation of a number of different peoples under the leadership of the Hunnic group. It is possible that for the people living in Jutland, the Hunnic empire was influential, but this does not mean that it was conquered in any sense. However, there must have been adventurers from Jutland who saw opportunities for wealth in Hunnic employment, and exchange of 'gifts' (or tribute) between the Huns and the people of Jutland.