if you prefer to fly with LCCs, you could fly;
VBird flies from Niederrhein "near Düsseldorf" (NRN
) to HEL
Swedish start-up FlyME opened this route only a couple of weeks ago, I think.
I recall Nordic Airlink flies this route. You could also take that flyME to MMX
, Malmö Sturup, then the bus + train combination via Malmö to Copenhagen.
onwards somebody else probably knows better...
But if you are able to buy some kind of a Star Alliance Europe pass, that could be a good option as well. Have a look at www.staralliance.com
Hope this helps,