The Danish Empire is just as eligible (if not more) as a civilization as many of the civs in the game.
Let's take the French as an example. The French Empire under Napoleon didn't last as long as the Danish Empire did, and what about the Germans? The closest they ever came to a true German Empire was under Hitler (unless you count the Holy Roman Empire, which was really just as French as it was German).
If you are going to add Mali, Zululand, Germany, France, Celts etc., then Denmark should have its place too. Not only was it the only noticable Nordic Empire, it is also the world's oldest kingdom.