Ghanaian youth midfielder Michael Baidoo made his debut for FC Midtjylland
Ayo Okosun scored a brace with Mayron George setting the winning tone for the Danish giants while Dean Ebbe netted the consolation for the Welsh side.
The 19-year-old replaced Nigerian forward Paul Onuachu in the 84th minute of the match.
FC Midtjylland advanced with a 5-1 aggregate win after recording a 3-0 victory in Wales last week.
They will face Swedish side Malmo FF in the final phase of the qualifiers.
Baidoo joined the Danish giants on a four-year deal from Ghanaian second-tier side Vision FC in 2017.