I don't know that it's necessarily true that most countries have such exceptions, but, insofar as I can determine, Denmark does not.
Denmark no longer does. It used to, but I think it was
@maatTheViking who explained that Denmark tightened its immigration policies because of backlash against the last few decades of immigrants.
I hardly claimed that every country that has policies to accept immigrants based on being exceptional grants citizenship to athletes or much at all. That doesn't mean there aren't laws and processes for granting exceptions.
Canada doesn't need an exception to grant residency, the prerequisite for citizenship, to athletes: they are codified into an existing economic class, the self-employed person in the Federal program:
The bad news is that Federal processing times for business applications is listed as 35 months.
I know Quebec has its own set of rules, although immigrants to Quebec have to meet Federal standards as well, and I don't see, at a cursory glance, anything having to do with athletics in Quebec, which is ironic, since they probably have the best athletic subsidies in Canada.
However, if he is already not a PR, he almost surely would get residency sooner in the Family Reunification program in Quebec, which includes common law spouses. Their website says they're processing applications from the beginning of February and are meeting a 25-day metric.