I am a Zimbabwean passport holder travelling to Denmark. I wanted to confirm if it is possible for me to apply for a UK visa while in Denmark?
According to UkImmigrationSpecialist:
Applications for transit visas, visit visas, and EEA Family Permits may be submitted in any country offering a UK Entry Clearance (=visa) service.
So the answer is: yes, you may submit your application in Denmark. However be aware that you'll have to receive your visa in Denmark as well and cannot receive it back in Zimbabwe.