MANAGUA, NICARAGUA, DEC. 9 -- A Sandinista spokeswoman said state security agents intensified their interrogation today of an American pilot shot down over southeastern Nicaragua Sunday while flying toward his ranch in neighboring Costa Rica.

The American, James Jordan Denby, 57, of Carlinville, Ill., is being questioned at a secret location in Managua by agents of the General Directorate of State Security, the Sandinista secret police headed by Lenin Cerna, government sources said.

Capt. Nelba Blandon, the spokeswoman for the Interior Ministry, quoted Cerna as saying his agents were "deepening the interrogation" of Denby, an avowed supporter of the Nicaraguan rebels known as contras. She said authorities might present Denby to the press Friday.

Yesterday, Defense Minister Humberto Ortega displayed various documents that he said showed Denby's links with Nicaraguan rebels and the CIA. Reporters were allowed only a brief look at the documents.

Blandon confirmed that Denby had asked Nicaraguan civil aviation authorities on Dec. 4 for permission to fly over Nicaragua. But she said he had not replied to telexed questions about the time, route and purpose of his flight, which therefore had not been authorized. Blandon said Sandinista interrogators were operating on the assumption that the overflight request was a "front to distract attention from his real purpose," which they believed to be an observation or spy flight for the contras.

{In Oslo, Costa Rican officials traveling with President Oscar Arias said his government would investigate the allegations of Denby being connected with the contras.}

While Denby remained under wraps today, Sandinista investigators pored over the documents and searched for items that they speculated Denby might have thrown out of his plane after it was hit by rifle fire Sunday, government and military sources said.

The U.S. Embassy sent a diplomatic note to the Sandinista government yesterday requesting a consular visit with Denby. "The government replied that we would have consular access, but did not indicate when that would be," embassy spokesman Alberto Fernandez said.

Denby, a Korean War veteran who bought a 700-acre ranch in northern Costa Rica in 1973, was flying his 1950s-vintage Cessna 172 airplane south toward the Costa Rican border when troops attached to the Sandinista Navy punctured his fuel tank with rifle fire, the government said. Denby then made a forced landing on a beach north of San Juan del Norte, which is a few miles north of the Costa Rican border.

Defense Minister Ortega said yesterday that Denby had "illegally overflown" 300 miles of Nicaraguan territory during a trip that took him through Mexico, Belize and Honduras on his way from the United States to Costa Rica.

Sandinista news media today played up the capture of the American, which was first revealed yesterday, and the documents that were recovered from his aircraft.

"Yankee Is Big Fish," said a banner headline in the official Sandinista National Liberation Front newspaper, Barricada. The paper highlighted Denby's friendship with John Hull, an American-born rancher who owns property near Denby's in northeastern Costa Rica. Hull has been named in U.S. congressional testimony as a member of a private contra support network run by former National Security Council staffer Lt. Col. Oliver L. North.

Among the documents presented by Ortega at a press conference yesterday were notes in which the name of Nicaraguan Foreign Minister Miguel d'Escoto appeared. Ortega asserted that this was evidence of a contra attempt to assassinate d'Escoto.

Ortega said that in addition to Hull, Denby had links to an American helicopter pilot he identified as Dana Parker, who he said had been shot down and killed in northern Nueva Segovia province in 1984 while attacking "the defenseless population" of a town.