Åland has a strategic value, the shortest way from Finland to Sweden proper is through Åland. I can see that Bornholm has a strategic value after Skåne is lost, but the island is rather useless if you already control land on the peninsula. And Sweden didn't actually conquer the island, it just sorta went along with the deal
In EU3 the Åland Isles are part of the Stockholm province, so when mainland Finland is conquered by Russia in 1800, then the Åland Isles remains Swedish. Although the isles also were conquered by Russia IRL.
The same could be said about Bornholm, the island was ceeded with the rest of Eastern Denmark to Sweden in the peace treaty of Roskilde in 1658. However, it rebelled and rejoined Denmark with the peace treaty of Copenhagen in 1660. But since the island in EU3 was part of the Skåne province, it would remain Swedish in the game.
The Southern part of the Scandinavian peninsula was the main battleground in the many Dano-Swedish wars. This area included Bohuslen, The Danish Isles, Skåne, Halland, Blekinge, Älvsborg, Västregötland, Småland (Kalmar), Öland, Gotland and Bornholm. Akershus (Christiania) and Trøndelag were also important battlegrounds in many wars.
However, the Northern arctic regions of Greenland (
Vestbygden - Eiriksfjord), Iceland (
Reykavik - Akurey), Nordlandet (
Finnmark - Hålogaland) and Norrland (
Lappland - Västerbotten) were not important battlegrounds. The arctic regions should be large barren inhospitable provinces with some sort of population and army penalty. With larger northern arctic provinces there would be room to add more provinces in the more populated southern areas of Scandinavia. Thus keeping the delicate balance of the game.
Btw. IRL Greenland was terra incognito for almost the entire EU4 timeline (only colonized with a few tradingposts and missions in 1789).