When we visited the Siegburg medieval market, we were pleasantly surprised to find a few gluten free options that we had not anticipated. The German Celiac Society publishes as list of glutenfrei food vendors at the Christmas markets each year, (can be found here), and I've been referencing it prior to each of our market trips.
Siegburg did not have any vendors listed, so we didn't expect to see anything. However, one vendor selling Suppe had a sign posted saying that allergy information is available. I sadly forgot to take a picture.
We later visited Brando Coffee shop to purchase a bottle of water and found the following glutenfrei pastries in the display case!