I'd imagine the Union of Britain would be much more likely to intervene in Scandinavia than France - the French navy is a bit pathetic, and it's doubtful whether they'd be able to give much meaningful support across the North Sea. Britain meanwhile is closer, has a better navy, and is likely to see the Scandinavian lefties as its 'Nordic Brothers.' There's a strong likelihood that France and Britain would be allied, but I definitely don't want to make it guaranteed...
As I want Britain and France to spend 1936 sorting out their internal politics and foreign policy stances, these sorts of foreign intervention events would probably fire in 1937-40.
I quite liked CCurio's general sketch for a potential Scandinavian war being bought on by British support for Norwegian Socialists (it's been posted a couple of times, I think...). And other situations involving Sweden, Finland and Denmark would be good. I'm not actually sure whether Germany would want to back Finland too much - they Finnish government might be a bit too extreme and destabilising, and a monarchist Sweden would be a much more natural ally.