After some reading I found that the Copenhagen Convention of 1857 named the Danish Straights an International Waterway free to all military and commercial shipping. This is not the case for the Turkish Straights which were directly controlled by Turkey.
In light of that I have changed my stance and believe that while Denmark is neutral (doesn’t matter if pro axis/allies as far as game terms) warships from either side should be able to pass through the straight until the Germans (or allies) take it. Once Denmark is activated then passage of the straight is controlled by that power.
Also found that Churchill had a plan (Operation Catherine) to put a large surface fleet into the Baltic in the spring of 1940 to disrupt trade between Germany, Russia, Sweden (iron ore) etc…but the plan was shelved.
Hitler invaded Denmark and Norway for control of this waterway to keep the allies out of the Baltic, and gain bases along the Norwegian coastline. This would insure trade, and better access to the North Sea (sub warfare and merchant raiding).