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Hi Jill- these give some information and may confirm what you already know. It is fron familysearch.org. Access is free but you need an account.
Marriage certificate for Andrew and Johanna.
Belatedly filed birth certificates for Marc Christian Petersen and Andrew Petersen, Andrew and Johanna's sons.
Margaret birth info.
Andrew in 1930 census. Montana Hospital for the Insane
That's all I found. If you follow up with the marriage certificate and can get a copy it may list their parents.
Dear Ms. Dahl,
Thank you for posting your request on History Hub!
We located birth certificates for two of Andrew Petersen’s children Marc Peterson and Andrew Peterson (named after his father) indicating his birthplace as Meirholm, Denmark. Although Meirholm does not come up in a Google search, it is extremely likely that this would be an Americanization and is not an accurate Danish name of the city.
We searched Ancestry and located for Andrew Peterson All Passenger Results; All Census Results; and a Marriage Record (no image) for Andrew and Johanna. There may be a fee for using Ancestry. However, you may view these records online at one of NARA's facilities for free via a NARA PC. For the nearest NARA location, please consult our web page at https://www.archives.gov/locations/. Also, some of the images from Ancestry are available for free on Family Search at https://www.familysearch.org/en/.
For the information you seek about Andrew Petersen and his family origins in Denmark, we suggest you contact The Danish National Archives.
In addition, you may wish to search Illinois Statewide Marriage Index, 1763-1900 to obtain a copy of the marriage certificate for Andrew and Johanna.
We hope this is helpful. Best of luck with your family research!
[Some information provided by Elizabeth Burnes, Subject Matter Expert]