I would actually think that a national socialist united scandinavia (consisting of former Danish, Swedish and Norwegian lands) would be more likely than that the states is just puppeted by Germany. At least that is what I've heard that the Danish and Norwegian Nazists planned during the German ockupation. Germany annexed never north Slesvig during the war, mostly cuz of the vast majority of danish people in the region. And it would not have been a good idea if they wanted to have good relations with a Scandinavian ally-state.
And what if South Africa keeped todays Namibia and annexed todays Botswana and Zimbabwe from the British and becomed a national socialistic state ruled entireley by the Afrikaaners? Break the British power over South Africa. Then of course, all non-boer leaders would "disappear" and all unit names changed to afrikaan ones. I would seriously think that it should have been possible with some german aid. And then Germany probably would think it would be better to let Southwest Africa (Namibia) remain a part of their Afrikaan puppet.
And France, the germans had actually plans to annex and colonize eastern france, more or less everything east of Paris to Germany, and pas-de-calais as a part of The United Netherlands.
http://en.wikipedia.org/wiki/Greater_Germanic_Reich
http://en.wikipedia.org/wiki/New_Order_(Nazism)
The national Socialist Scandinavia with the capital Göteborg (Gothenburg) or maybe Copenhagen or Stockholm, should consist of the entire nations of Denmark, Sweden and Norway, including the Faroes, Iceland and the Åland isles, (this includes Slesvig) but perhaps parts of lappland (the Torne valley
http://en.wikipedia.org/wiki/Torne_Valley and Norwegian Finnmark
http://en.wikipedia.org/wiki/Finnmark) should be ceaded to Finland.
This is the national anthem of Scandinavia with the national flag if this nazi-scandinavian state would have been created:
http://www.youtube.com/watch?v=GgRP6mij8NA I haven't actually been able to find it outside this video yet, but how hard can it be?
Of course, Vidkun Qusling as Scandinavian fuhrer
http://en.wikipedia.org/wiki/Vidkun_Quisling,
http://www.knowledgerush.com/kr/encyclopedia/Quisling/