Green’s Dictionary of Slang

Copenhagen n.

In compounds

Copenhagen capon (n.) [a SE capon is a gelded cockerel]

(US gay) a transsexual.

1972		B. Rodgers Queens’ Vernacular 201: transsexual [...] Copenhagen capon.
1988		H. Max Gay (S)language.

In phrases

go (to) Copenhagen (v.) (also go to Denmark)

(gay) to have a sex change operation.

1965		Guild Dict. Homosexual Terms 19: going to denmark (n.): Getting one’s sex changed.
1972		B. Rodgers Queens’ Vernacular 201: go Copenhagen to have one’s original sex changed by means of the surgical knife. Syn: go to Denmark.
1986		H. Selby Jr Song of the Silent Snow (1988) 34: He asks me what she wants — OOOOO whattza matta? ya crazy? HAHAHA — He’d betta go ta Denmark.
1986–7		Maledicta IX 53: Copenhagen, go; go to Denmark v phr [R] Have sex change operation; homosexual slang.