"Sorry, I am not welcome."
Translation:Undskyld, jeg er ikke velkommen.
That seems like a pretty far-fetched example to me. I don't know. :-)
By the way, many people seem to mix up the difference between "welcome" and "welcomed" in English. Welcome as a verb with the past participle "welcomed" is an active verb and entails shaking hands with someone or otherwise greeting them as they arrive. Whereas "welcome" is more a state of mind.
Also, generally, a person doesn't decide for themself whether they are welcome or not. Although, of course, you can declare yourself unwelcome if someone else has made it obvious to you that you aren't wanted in a particular place at a particular time. But, for the most part, I would think that welcome wouldn't be used all that often in the first person.
"Undskyld" is mostly used when you are apologizing for something you are guilty of like "sorry I was late" and it is also used as "exuse me" = "undskyld mig". An example of "beklager" could be are staff in the grocery store saying "beklager, vi har ikke mere mælk" = "sorry we don't have anymore milk".