There’s a lot of different thing it could be called.
There’s always just Denmark.
The Danish domains today are called the Danish Commonwealth (Rigsfællesskab). Of course it it happen early this is unlikely, instead Danrige or Danerige (realm of the Danes) would make sense.
Traditional before the development of the concept of Scandinavia, Nordic was just the word of North Germanic people and Norden the land they lived in. So Denmark-Norway divided the their union in the German and Nordic areas. Of course how Norden would be translated into other languages is the question, and how the Danes would use it is the question. Nordmark would be an obvious one, so would Nordland.
Scandinavia is a Latin word borrowed from proto-Germanic, so even through it only came into use in the 19th century, no reason it couldn’t be adopted anyway.