I guess they should of called it Denmark-Norway?
Actually, I am personally against that. Being a bad period of Norway (by many Norwegians known as the 300 year night), and with Norway having no power at all, I feel that, even if the historical title, it doesn't really fit the need. It's like the debate over Austria. Should it be called Austria or Austria-Hungary? Personally I think the first option is the best one in that issue.
Actually the most appropriate term would be either Vikings or Norse (prefered), especially thinking of that they have a Norse king and include a Norse scenario...