I'm fairly sure that there provinces in Greenland in EUII or even in earlier patches of EUIV.
As for the Norse religion, I don't know about adding it to the game, but Zoroastrianism is in the game at the 1444 start so who knows?
I wonder if any Scandinavian ruler wanted to unite the region but not in the form of the already established Denmark, Sweden, Norway or as a restoration of the Kalmar Union - how historical is the "Scandinavia" tag compared to a "Kalmar Union" tag? I'd prefer there being no Scandinavia tag, but a Kalmar Union tag that can be formed under special circumstances.