Welcome to the Wefugees Community and thank you for reaching out to us.
Whether you can get married in Denmark will depend on your status. In case your asylum application gets rejected and you eventually, for instance, may be granted a so-called "Ausbildungsduldung" (as with a "Duldung" in general), you are not allowed to leave (or better to say to return to) Germany. However, maybe its possible for you as well to get married in Germany? Please check this thread and the here linked blog for more information on the topic "marrying in Germany".
Assuming that you are able to obtain a residence permit (i.e. according to section 25a or 25b of the German Residence Act), you should be able to travel and therefore most probably (given that you hold the required documents) also to get married in Denmark.
I would recommend you to get some individual support and advice in a migration counselling office to discuss your options and next steps.
I hope this helps and please don't hesitate to get back to us with any further questions as well.
All the best,