As this article you've found mentions that the Thorwaldsen Museum may purchase the statue, I have just gone into the museum website and searched through their sculpture collection. There are 854 items featured including frescoes, busts, statues and miscellaneous heads etc. Unfortunately none of these appear to resemble Nelson. (That's enough culture for one day).
Thanks for that Phil. I did much the same myself.
I tried one last roll of the dice and emailed a copy of the article over to the museum. Just a short while ago received this reply.
"Thank you for your inquiry.
We do not have any knowledge of a statue representing Lord Nelson executed by Bertel Thorvaldsen. Yet, in the Danish newspaper “Fædrelandet” they mentioned a bust on 1. September 1857. The newspaper’s message is, that a bust in human size representing “Admiral Nelson” had been sold at an auction in Bergen, Norway. And one presumed that the bust was ”an original work of Thorvaldsen”.
After this date in 1857, we have never again heard about neither a bust nor a statue representing Lord Nelson. We’ve looked in the three volumes which Else Kai Sass’ wrote about Thorvaldsen’s portrait busts (Thorvaldsens Portrætbuster, 1963). But not either she has mentioned a work of Lord Nelson.
I hope this information is useful for your further investigations."
So I guess it will have to remain a mystery. Interesting though!