I laughed when I first saw that the word for king was konge, I immediately thought of King Kong, if he were Danish he would be called Konge Kong.
Actually, even better, he would be Kong Kong (except I'm pretty sure we just use the English name unchanged, but that'snot as funny).
When using it as a title before a name, it's just Kong, not Konge. Kong Christian IV, for example.
In danish he is called king kong. But you are right. If we translated it, it would be kong kong.
And here I sit, picturing Prince in giant headphones, listening to a Michael Jackson record...