Can I install PHPMyAdmin and Pterodactyl on the same server?

Yes, you can - just run the PHPMyAdmin installer like normal. Be aware that you cannot use the same domain/subdomain as Pterodactyl. For example, your panel is hosted on panel.yourdomain.dk and then PHPMyAdmin would need to be called something else, for example pma.yourdomain.dk. Please remember to create an A record for PHPMyAdmin too, just like you have for Pterodactyl.