Here's one scenario for Sweden and Finland:
Have Sweden retain Finland past the Napoleonic Wars. In the decades to follow, make a consensus rise in Stockholm that keeping the Eastern Provinces in the future, too, is vital for the survival of the nation. Make this consensus part and parcel with a entrenched view of Sweden as a regional powerbroker in the north.
In the 1830s to 1850s, see a nascent Finnish nationalism start take root, including a moderate side wanting to work through Stockholm to increase Finnish linguistic and political rights and an initially very small radical side wanting a independent nation through violent secession.
Have a almost-general European war come about on schedule with the OTL Crimean War. Sweden and Russia fight in Finland and on the Baltic, for several long years. Russian land troops make some headway and occupy a large part of eastern Finland. In there, they recruit Finnish separatists to fight against Sweden, promising them independence or at least autonomy if Russia wins.
In the end, the larger western alliance Sweden is part of together with, say, the British and the French, wins by superior naval power and internal problems in Russia. The entire Finland is restored under Swedish rule, but the widespread devastation caused by the war has set back Finnish economic development by decades. The Swedish state's coffers are also quite empty.
Wartime experiences with the Finnish nationalists and their "treason" in the east make the Swedish to take a hard line against the nationalist movement in the east. As racist notions of the superiority of the Germanic people take root in the realm, a process begins in the Finnish provinces to marginalize Finnish language and culture and to make Finns "real Swedes" by schooling and nationalist propaganda, in the interest of national unity. This in turn weakens the moderate Finnish nationalists and plays into the hands of the radical secessionists. A special secret police is created to keep an eye on dangerous Finnish extremists.
At the same time, Stockholm decides to modernize its armed forces so that the next time Russia attacks, they will not be as vulnerable. As a result, the Swedish military in the 1860s-70s is one of the most modern in Europe, and quite large. The process swallows a lot of the fruits of the Swedish industrialization, though, and such resources as IOTL contributed to the Swedish people becoming more affluent and a rising middle class are being swallowed by the military and keeping Finland in check.
Economically, the nation polarizes to a rising upper class and a growing working class. Several large, sooty industrial towns rise in the south-central Sweden and southern Finland, creating a basis for the birth of an increasingly militant Swedish *Socialist movement.
By the time the 20th century comes around, constant and frustrated efforts for a Finnish "Home Rule" lead to the creation of a "Finnish Republican Army" making small scale attacks against military targets. The assassination of a rikssvenska governor in Eastern Finland brings about a crackdown by the authorities, one that in turn that sparks a small rebellion in the East.
In the west, Sweden is being increasingly seen as a militarist and chauvinist state only a bit better than Russia, even if still a powerful and modern nation in terms of the economy and the military.
Around the first decade of the 20th century a Great War comes around. Sweden sees itself again at war with the old enemy, Russia. Allied with a growing German Empire, Stockholm looks to once and for all to vanquish the eastern menace. As in previous wars, Finnish troops make a big part of the Swedish army marching east.
As the war bogs down into trench warfare in the west as IOTL, in the East Germany and allies make better headway against Russia. In the north, the Swedish army advances easily north of the Ladoga, but on the narrow Karelian isthmus (traditionally owned by Russia) is also forced into trenches and Russian troops fighting fanatically their backs to the capital frustrate all efforts to break through.
Two-to-three years into the war, the Swedish state has thrown almost all it has to the war effort. The enemy, lead by the British, is blockading Swedish trade. Slowly, opposition for the war grows. In Finland, Russian operatives have been working throughout the war to stir up rebellion. As the ethnically Finnish civilian population has received the poorest food rations through the war, it is the first to rise up in rebellion in 1913. Ironically, the army on the isthmus comes closest to break through Russian lines even as the Finnish rebellion cuts logistics to the area. As troops are marched against the Finnish nationalist rebellion, more towns rise up and in the military vacuum of central Sweden proper Socialist revolutionaries also decide to use the situation to their advantage. In weeks, a multi-sided civil war engulfs the Swedish state. As the embattled Swedish government seeks armistice with Russia and allies, Russians start rolling back Swedish troops in Karelia and the Germans send an uninvited expeditionary force to Skåne to stop the revolution from spreading.
In the east, also St.Petersburg falls to worker rebellion and an armistice is made by the Swedish and Russian governments. The bitter civil war in the Swedish realm grinds on, with the Germans supporting the government forces and the russians the Finnish revolutionaries. As the Russian government manages to crush the Socialist revolts in Russia, and the general European war ends in something like status quo ante through exhaustion as all sides fear the Swedish and Russian examples are repeated in their own capitals.
In a year's time, the Swedish Civil War is over. The Swedish lands have been ravaged and tens of thousands have died. With Russian support, Finland becomes an ostensibly independent republic whereas Stockholm is now ruled by a German-backed authoritarian military dictatorship, with a weak King as a front.
And so on. In the future both Sweden and Finland are more poor and more unstable than IOTL and far from the OTL political consensus we hold so dear. This will be exarbated if there is a "Second Great War" in which Fascist Sweden tries to regain the lost eastern provinces but fails.
