Welcome to our community and thank you for your question!
I doubt that it's going to be possible for your boyfriend to travel to Denmark whilst being an asylum seeker. Usually you are not allowed to leave the country with that legal status. Maybe he can get a special permit at the Dutch aliens department for that.
But it's possible to marry in Netherlands if one or both of the spouses are foreigners. We had a quite similar question here on Wefugee just yesterday. Please check out the link that I posted over there:
Apart from that it's probably best to get in contact with the municipality to find out about the exact requirements.