AHHH I really don't know. We know in canon that during the Kalmar Union, all the Nordics lived in Denmark's house. But I think I assumed that during WW2, Denmark stayed in Copenhagen, yeah. But at the same time, Denmark was mostly left alone due to special circumstances/model protectorate - he was allowed to keep his government, Prime Minister, and police until 1943, which is when I play him. So I can easily see it as Denmark being allowed to live on his own UNTIL then, and then being forced to hang out at Germany's house and mooch beer. But at the same time, during a relatively short-term war like WW2 (in comparison to some, I mean) - Denmark was occupied, but he wasn't made part of Germany; same with Poland and Holland and so on. Unlike say when Hungary became Royal Hungary/part of Turkey, or was then brought into the Holy Roman Empire.

/two cents

That also then leads to colonies! Do colonies live with their sovereign nations? What about home rule? Or is it just a visiting often kind of deal - I know that's the case with America and England, but I know Denmark and Iceland were playing it that Iceland lived with Denmark until he was given home rule (in... the late 19th century ffff). Which in retrospect might not be logical.