Welcome to the Wefugees Community and thank you for reaching out to us.
The marriage topic is quite frequently discussed on this platform. For the respective procedure in Germany, please see, for instance, this thread which contains a collection of related questions and information.
I am not too familiar with the process in other European countries but I assume that authorities might also ask for a residence permit of at least one of you in order to marry.
However, I learned from some reports that marrying in Denmark does not require residency and apparently people need to provide comparably less documents as well (identity always needs to be proven though).
I hope this helps and please get back to us with any further questions.
All the best,