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Denmark was well aware that it didn't have the military power to fight the Nazis, so the plan was to surrender and cooperate with them. However, they also knew what the Nazis did to Jews, so when reports came in that the Nazis were on their way the Danish government immediately got hold of 99% of Danish Jews and shipped them off to neutral Sweden in the dead of night.
(Unlike in this comic though, the Jews knew where they were going and why)
This of course also means the Jewish community in Denmark is pretty small today.