authentic danish pastries
Leske's, on an increasingly Middle Eastern stretch of Fifth Ave., in Bay Ridge, Brooklyn, would be the best place to start:
Late in the year you might want to visit the Christmas fair of the Danish Seamen's Church, in Brooklyn Heights...
...though it wouldn't hurt to drop a line to the church earlier in the year, too!
Don't know about Danish, but you can get close with Swedish. I know this sounds like heresy ('m swedish and frown upon using danish and norwegian goods - like using Danish or Norwegian Aquavit) but I am sure there are some things that are similar or at least close. I would give Fika a shot. Two locations now, I beleive.
Also there is a place in Northport on Long Island that is called the Copenhagen Bakery. I have actually ordered Princess Tarta there and I think I have even seen Semlar there although I always forget to go get them around Easter.
I would also point you to Brooklyn where there was a large Scandinavian community back in the day. Not sure if any of the bakeries are still around but may be worth a look.
Let me know what you find.