If the Nordic countries are focused separately on different dlcs, then there is no possibility to introduce the WWII with historical accuracy, at least for a long time.The events and the Norwegian and the Swedish decisions largely affected the format of how the WWII was fought in Scandinavia and between Finland and the Soviet Union.
During the Winter War, Finland requested Swedish intervention for several times. Sweden chose, perhaps wisely, to remain as a non-belligerent and the relief and aid for Finland stayed as moderate. After the war both countries discussed about a state union, but this idea was abandoned due to the Soviet demand. Again in 1941 the Swedish neutrality was tested during the midsommarkrisen. By choosing otherwise than historically, Sweden propably would had entered in the war.
The German occupation of Norway is a primary reason for how the Continuation War was fought and how it happened. Without the German occupation Finland wouldn’t had been affected by the German influence, at least not so much. The Soviet claims and demands would had been carried on and the Soviet influence on Finland would had remained, the Soviet Union probably launching a second invasion attempt. Sweden and Norway now could have joined the war as experiencing their independence more threathened than in 1939-1940. Another thing is, if the Allies occupied Norway and/or Sweden, how would the Soviet Union then react.