It would be quite a feat for the local paper [1] to interview him without realizing his name was fake!

Mads and Mikkelsen are both common Norwegian names (SSB has >4000 Mads and Mikkelsens individually), and unless his parents were big Refn enthusiasts I don't think they would have been aware of the actor...

[1] https://www.nordlys.no/mads-sin-drommereise-til-usa-spolert-...