For you to be able to test your integration in Penneo you can use a sandbox account. Contact Penneo support or your contact at Penneo who can help you set up a sandbox account.
When testing signing in sandbox you cant use your normal e-id (NemID or BankID). You have to use a test e-id. You can find test e-id's for Danish NemID, Norwegian BankID and Swedish BankID her.
API documentation can be found here: https://penneo.zendesk.com/hc/da/articles/360022074532