Sorry!! I think they bake or baked it fresh for the shop (and the open sandwiches), but - you're right - not for delivery. Try the shop in Barnes recommended further up in the thread. Aldi or Lidl would be good bets too - they've lots of shops in Denmark e.g. and I know they have an annual "scandinavian week" so seems like a good betm and you often find Scandi products in their shops over here! Always go for 100% rye in the bakeries suggested - "rye bread" in the UK is very different to "proper rye bread" (which is more like a big black brick of rye goodness :D). IKEA sells rye bread flour mix which my expat friends seem to rate - and you can't go wrong with IKEA :)
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