Welcome to our community and thank you for your question!
May I ask a few questions first in order to get a better overview of the situation: You are an acknowledged refugee in Denmark, or are you still an asylum seeker in the process? And were there any other reasons for that you couldn't marry in Germany except for not having all the required documents?
To answer your question:
If you are allowed to travel you can also marry in Germany. To do so, you have to get in contact with the competent registry office ("Standesamt") in your fiancé's city. Ask them what documents you need to provide (usually: passport, certificate of birth and certificate of no impediment) and if there are other requirements that you need to fulfill. They will give you detailed information about your specific case.