Irish in Denmark, 1600s

Morgan Bryan, ancestor of many Americans, was said by his grandson to have been born in Denmark (probably c.1690-1695), the son of an Irishman who went to Denmark and married a Danish woman. He was probably Presbyterian.

My question: why would his father have gone to Denmark? As a professional soldier, perhaps, or merchant? Which would be most likely? What is the chance of finding a record of a person named Bryan in Denmark in this period (c.1670-1700)?

Paul Gifford