Welcome to the Wefugees community and thank you for your question.
Since you are an officially acknowledged refugee you should be able to travel to Denmark in order to marry there. Beforehand, you and your partner should get in contact with the Danish registry office that you want to marry at. They will tell you exactly which documents you need to hand in.
In general, both of you need to submit a valid passport/ID, a certificate of birth, a document that shows your marital status (it proves that you are not married at the moment and shows where you are currently residing) and a notice of marriage (it's a form that you can download e.g. like this one: http://www.getmarriedindenmark.com/wp-content/uploads/2015/08/ab-N-of-M-2015.pdf --> but you'll probably have to download it from the website of the registry office that you want to marry at).
In addition, you might have to show them your Italian residence permit (to prove that you are legally residing in the EU), and depending on your situation also a certificate of divorce or a certificate of death, if you or your partner have been married previously.