I never saw the "Hans Christian Andersen" film but, by golly, the songs were played on the radio a lot - "Wonderful Copenhagen", "Thumbelina". "The King's New Clothes" and "The Ugly Duckling" - over and over again. so, once more, I'm sure that MK would have heard them when he was young.
If you want a really tenuous connection between "Wonderful Copenhagen" and "Mr Bob", here it is. In late-1965 and early 1966, he flew to concerts (with the Hawks, later The Band) in North America in a private plane owned by his company - an old Lockheed Lodestar from WWII. And, during WWII, this aircraft was owned by the Norwegian government-in-exile and, as a civilian airliner (that is, unarmed), flew the service from RAF Leuchars in Scotland to Bromma Airport, Stockholm in neutral Sweden. The most direct route was across the Skagerrak (the stretch of water mentioned in "Wonderful Copenhagen") and a very dangerous route it was in wartime, too. It wasn't the only aircraft on this wartime service but was probably the longest serving. There, I told you the connection was tenuous.