Yaakov Goldberg wrote this on 21 Sep 1992 but I found it only this morning:
The story about king of Denmark who wore the Yellow Badge during WWII is a legend. It never happened. Yaakov Goldberg quoted from an article published by Danish anthropologist Jens Lund who claimed that it was a fictionalization contrived by Leon Uris in his 1958 novel, Exodus.
This story made me disappointed: I always admired those brave righteous people who risked their lives to help Jews escape from the Nazis. Now I'll have to admire one less.