From having friends in the same situation I can only say that if your wife is working for SAS in CPH I would move to Sweden since the commute is very easy. Our friends flat out gave up on moving to Denmark because she (American) could not get a Danish residence permit, he (Danish) has no problem living in Sweden. She is now a Swedish citizen.
I am a Swede married to an American and it is very easy to get the residence/work permit. It took a while for the permit to come thorough (6 months, and you have to be apart for that time) but there was never a question as to if it was going to be approved or not.
After three years she is now eligible for citizenship in Sweden.
Hope it helps.
Catans