Haha this one has been thoroughly researched, you have inadvertently referenced an infamous discussion about invading by the Frisian Islands here a few years back
Ya, I had palpitations for a second.
Could an Allied invasion of Norway then Denmark do it?
Could? Maybe. Should? Not really.
Norway has the same issues that directly invading Germany has, except magnified by distance and geography. The Reich always expected the WAllies to attack Norway, Churchill would get on his hobby horse about it on a regular basis. There was a very well kitted out force in occupation literally until the end of the war (300k+ troops, several bomber and fighter squadrons, plus light naval units, biggest waste of Heer manpower outside of the Africa, especially as things went to hell).
The best way to Germany was exactly the way it was done (although there is a valid discussion to be had regarding if Normandy was the idea location, opposed to north of Calais). Landing France played to the WAllies strength, namely the shortest possible supply lines and largest arc of air cover from the UK.
There were a number of tactical errors by the WAllies, but the strategic plan was very solid,