Not that I'm very expirienced with the TGirl scene of my country, but I'm relatively sure that most of what you will find in Copenhagen are transvestites. I have been researching a little, but I really haven't find anywhere with transsexuals around here. Most of what you will find are gay men who dress up as women for a night out.
Unless you bring the girls yourself, I'm pretty sure Copenhagen will be a disappointment to you.
