Start as Denmark in 1066. Get the Swedish king excommunicated and declare war on him, occupying his provinces but not peacing out. Wait until Erik the heathen declares war for Sweden and destroy the Swedish armies that attack him, effectively "helping" him gain the throne. At the same time gather piety (you need 500!). When Erik the heathen is pagan King of Sweden and you have 500 piety and enough gold, call for an invasion of Norway and declare multiple successive holy wars on Sweden. After that you should have enough provinces to form Scandinavia, but there's always Finland and the Sami to invade for extra provinces. It may be even faster by annexing pagan Sweden and then using the piety you win in those wars to invade Norway, but you might have more holdings than Norway (unless they win an invasion of England, which may help you). As long as Norway has its troops in England it's a piece of cake. Beware uberpoland or the HRE attacking pagan Sweden though.