Here is his life in brief from Catholic Online and Wiki.
A Danish hermit who had a hermitage on Cocket, an island off the coast of Northumbria, England. He lived under the director of the monks of Tynemouth. He died in 1127
Henry of Coquet (died 1127) was a Dane who lived in a hermitage on the island of Coquet, off the Northumberlandcoast. He died there in 1127. He is venerated as a saint in the Catholic Church. There is a stained glass window in the church of St Thomas of Canterbury in Deal, Kent, England, showing an image of 'St Henry the Dane'. He is wearing a horned helmet.