The dialog goes like this:
Horatio: He waxes desperate with imagination.
Marcellus: Let's follow. 'Tis not fit thus to obey him.
Horatio: Have after. To what issue will this come?
Marcellus: Something is rotten in the state of Denmark.
Horatio: Heaven will direct it.
Marcellus: Nay, let's follow him.
There's a reason he says "state of Denmark" rather than just Denmark: the fish is rotting from the head down—all is not well at the top of the political hierarchy.
Is Nexon trying to say something? Why did they chose that political quote? Em I over-thinking this?