Can we get married by Skype in Denmark or Gibraltar?

No, it is not possible to get married in a legally binding ceremony on Skype in Denmark or Gibraltar. If you want to get married in Denmark or Gibraltar you both need to be present in person.
It is usually possible with the advance agreement of the registrar (via your wedding planner in Denmark or Gibraltar) for you to have Skype on during the wedding.  So that guests who are unable to attend in person can at least see you on your wedding day and attend via a Skype call - so they can be present in some form. As long as this does not negatively impact the Registrar and the service in time, duration or ability for the Registrar to deliver the service they need to they are more than happy!