If you have to discount Louise Augusta of Denmark because she wasn't the daughter of King Christian VII of Denmark and Norway, I think you may have to reach far back to find a Danish connect to Grand Duchess Maria Vladimirovna of Russia and her son Grand Duke George Mikhailovich of Russia.
Starting with Princess Anne of Denmark, second daughter of King Frederik II of Denmark and Sophie of Mecklenburg-Güstrow; she married King James I-VI of England, Scotland and Ireland.
From them comes thier daughter Elizabeth Stuart who married Friedrich V the Elector Palatine of the Rhine and King of Bohemia.
Thier daughter Sophia was heiress to the throne of Great Britain via her descent from James I-VI and the 1701 Act of Settlement. She married Ernst August, Elector of Hanover and they were the parents of King George I of Great Britain.
From there you can follow descent (several ways actually) through the British and Prussian Royal Families until you reach German Emperor Wilhelm II the grandson of Queen Victoria of the United Kingdom.
Grand Duchess Maria Vladimirovna's paternal grandmother was Princess Victoria Melita of Edinburgh and Saxe-Coburg-Gotha who was a granddaughter of Queen Victoria of the United Kingdom.
Grand Duchess Maria's husband, Grand Duke George's father, was Prince Franz Wilhelm of Prussia, and he was a great-grandson of German Emperor Wilhelm II.
So the Danish connection is there but way, way back.
In Russia, we know that Czar Nicholas II and his siblings had Danish royal heritage due to their mother being the former Princess Dagmar of Denmark. She married into the Romanovs and eventually became Empress and then Empress dowager. I'm thinking of Grand Duke George and his mother Maria, the Grand Duchess and "head" of the imperial house and whether they, too, have any Danish royal heritage. I've not had success in finding mention of this.
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