When are you visiting? I might be in Copenhagen as well on Tuesday. Just a quick stop by Accord to drop off a box of blu-rays and records to trade in. It's a buy-sell-trade store with a lot of records but the selections are kinda "eh" and they seal the records so you can't check condition or pressing.
Panama City Records
Yes We Can Can (Visited a few times. An art store but the husband is a DJ. A small selection compared to most stores. A popular stop for hip-hop producers, DJ's and Elijah Wood)
Sort Kaffe & Vinyl (a coffee shop with fresh bakery and records. Might have some Jazz)
Sound Station