Denmark has Mercyful Fate/King Diamond, so on that level they have something of a claim I guess. And interestingly enough one of the biggest tour booking agencies in Europe runs out of Copenhagen. But it's an interesting question.

One text I would suggest checking out is Daniel Ekeroth's "Swedish Death metal". He traces the evolutionary path through 80s Swedish hard-core punk and into Death and Black metal. One of the key points he raises about Sweden is the heavy state subsidies to the music industry and the support of music programs in schools and the youth centre system which gave young bands a free or very cheap rehearsal space and access to instruments. If Denmark had different policies it's possible that the relative lack of successful bands across all the extreme music genres comes down to that.