I can't really see the need for a direct London to Malmo link.
The direct slow train from Malmo city centre to Copenhagen airport takes 35 mins and the fast train a mere 20 mins.
My brother in law often visits his brother in Malmo and he flies to Copenhagen Airport and takes the trip over the Orseund Bridge either by public transport or hire car.
I should imagine that there are a lot of passengers originating from the Malmo area on the Swedish side using CPH.