Hvor hen er min bror?
The adverb ¨hen¨is typically used in this sentence in oral language.
Could be used here?
Not as you wrote it, but you could say "hvor er min bror henne" or "hvorhenne er min bror".
Probably in the kindergarten?
Does Danish never do the Norwegian thing, i.e. is it always wrong in Danish to say Hvor er bror min?
Yes, it will always be "min bror". We don't reverse the noun and possessive like our neighbors do.