Realistically, I think they can mostly hold out (not counting Jutland and the Baltic nations due to their obvious vulnerable locations), but rarely if ever go aggressive. In game however, I have honestly no clue what is possible. Here are my few thoughts anyway:
Against Germany, Jutland will likely have to be sacrificed due to flat terrain and land access through Schleswig-Holstein. The longer you can keep the Germans busy before losing Jutland, the less troops will be available against France. The rest of the islands can be fortified with coastal forts and anti air, thus making naval assaults extremely costly. Finland has a lot more narrow passages than people expect thanks to being the country of a thousand lakes. If these passages can be fortified, then that would severely hinder Soviet movement. As for Sweden and Norway, they will have a constant fear of naval assaults regardless of whom they are at war with due to being on a peninsula with a fortified northern border. The only practical way to enter those two countries are by sea, so coastal forts (and anti air if you have time for it before the war) will be needed, especially if Sweden wants any chance of keeping Gotland.
I don't know if the battle planner allows you to make defensive battle plans with retreat paths and defensive retreat lines, but if it does, then the grand battle plan doctrine might be a good option to consider (especially so for Finland) in order to stack defensive bonuses. For the one playing as Norway specifically, you will want a heavy focus on mountain infantry and equipment for them, since your country is basically just one long mountain range. Neither country will be able to field a lot of troops compared to neither Soviet Union nor Germany, so you will want to stack as many bonuses on your troops as possible rather than trying to get a few percent more troops. Generally, you will want a good base of reserves anyway, so make sure to coordinate with the other nations so that they are capable of reinforcing their front lines.
Another funny thing you may want to try if you're playing as Norway, is to launch a naval invasion of your own in order to surround the defending troops at Murmansk. If you're able to take Murmansk, then I think the supply for the Soviet Karelian troops will diminish even further. If you somehow manage to get aerial supremacy in the area, then it could be coordinated with paratroopers (from any of the countries, but I suspect Finland will be a bit too tied up down at Viipuri to assist with that) a bit further in on land, in order to further surround the Soviet forces. I see this as one of the only options for aggressive movement against the Soviet Union, and depending on whether or not the Soviet army will suffer a supply penalty, it may or may not be worth it. If you simply lose a bunch of men, and they are able to retake Murmansk, then the suffering will all have been in vain since they have millions more in reserves.
