nah mang, that's what some people apparently think though.
My mum's parents were both native Italians who moved to Australia. On my Dad's side, someone a few generations up the chain came from Denmark to Australia.
Thought you did say somewhere that you were Mexican, oh well. Also figures, you take after your mom then. Also I'm the opposite (in respect to your dad being Danish), my mom is a quarter Danish, and the rest being English, Dutch and Swedish.
EDIT: I know Australia has always had a small Danish community consisting of mostly sugarcane farmers who came during the nineteenth century to Queensland. I also know that a very prominent cabinet member (under Abbott) or Parliament member is Danish-Australian. I forget his name though.