Oh May should be nice weather for Copenhagen. There's a pretty good public transport system all over the city and your 11 year-old dd can travel for free on your ticket. There are parks, museums, also Google Tivoli (nice park and rides), den blå planet (giant aquarium), experimentarium to name but a few (on mobile but can try and post links later when I'm not supposed to be cooking supper!)
Out of Madrid and Zurich I would say madrid. There isn't an awful lot to do in Zurich unless you are going to get a car and travel a bit. Tons to do and see in Madrid, I could happily spend a weekend simply wandering around.