The Luftwaffe loss list available at
http://www.rafandluftwaffe.info/ shows for 7 May 1940 a He 111 of KüGr 806 being a total loss at an unknown place in Denmark. All other details, including the crew fate, are unknown.
The excellent webiste of Soren Flensted for Air War over Denmark (
http://www.flensted.eu.com/) had nothing for this date, and so I wonder if this locc occured or not.
Thanks in advance
Laurent