In Decline&Fall scenario Germany cannot rail move through neutral Sweden, despite having one German (naval) unit in each of Norway and Finland.
According to RAC this should be possible.
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You can not rail move through Neutral countries or even allies that you are not cooperating with. Though you can put naval units in their ports, you still do not have control to allow the rail moves. You will need to conquer them first.
Just to make sure, no other German unit has railed to/from Copenhagen this turn, right? A side may only rail once across each straight in a turn (turn, not impulse).