I usually don't go looking for games supporting Danish, but maybe this filtered search could help you: https://store.steampowered.com/search/?specials=1&supportedlang=danish&ndl=1

Unfortunately it doesn't distinguish between languages with full audio support and subtitles only, so you'll have to check the game's page first.

Other than that there might be the good old Danish classics for kids like Magnus og Myggen.