This is absurd in the extreme. In actual war there is absolutely no possibility of success for Denmark, even with the help of allies. Failure to capitulate results in nothing but death and destruction with no hope of strategic gain to begin with. What you are likely experiencing is a modern belief that screaming and shouting will bring popular diplomatic pressure to bear on the opponent, thus arresting their actions.

There was similar tough talk in 1940 and Denmark lasted 6 hours. Without capitulation the country would have been razed. But surrender saw it able to keep some level of control and thus extricate the Jewish population in relative safety which would not otherwise have been possible.