The best bet for a Nazi holdout in Norway would likely be one led by Josef Terboven (Reichskommissar of occupied Norway), who by all accounts seemed to be a power-hungry tyrant who was much more of a hardliner than any of the leaders of the Flensburg government. Even Goebbels was annoyed with Terboven's brutal treatment of the Norwegian population. And he was fully committed to continuing the fight by any means necessary, even if the Nazi regime in Germany itself fell and/or surrendered. Near the end of the war his pet project was Festung Norwegen, the plan to use Norway's heavy fortifications as a last perimeter of defense for the Nazi regime if it was defeated in mainland Europe. When summoned to Flensburg on May 3 of 1945 and ordered to cooperate with ending the war, he told them he wanted to continue the fight. Karl Dönitz responded by dismissing him from his position, and when Germany surrendered Terboven committed suicide by setting off 50 kg of dynamite in his bunker.
Terboven technically only answered to Hitler (while he was still alive), and while the chain of command was more complicated than that (he didn't personally command the 400,000 German troops in Norway other than his personal force of 6,000 men; they were commanded by generaloberst Nikolaus von Falkenhorst, who he had very strained relations with), he didn't like to see it that way and tried to ignore any directives not issued by Hitler himself. He thought he had what he called "limitless power of command" and so butted heads with and was unpopular with a lot of Germans in Norway, and of course was despised by the Norwegians who had to live under his brutal regime. So, a hardliner megalomaniac who resented answering to anyone. It wouldn't surprise me if he assumed his Norwegian fortress would outlive the Flensburg government, and if he relished the idea of being personally in charge of the last holdout of the Nazi regime, with no one left to defer to.
So if someone manages to tip him off that the Flensburg government is planning to dismiss him if he doesn't cooperate with ending the war, his reaction could easily be to refuse to come to them when called and declare that Reichskommissariat Norwegen doesn't recognize their authority (after all, at this point in the war it's not like they have any means to stop him). With 400,000 men, an extremely rugged and very heavily fortified coastline, and a narrow border in the north to defend against the Soviets after the liberation of Finnmark, one could see why he'd think the place was a tough nut to crack (and that's before we remember that he was a hardliner with a giant ego).
But, the Norway he commands will be held together by 400,000 extremely demoralized German troops probably worried for their families back home, and filled with a population of Norwegians that hate his regime and are only barely kept under control by his brutal methods of repression. So I would expect to see mass surrenders (either to civilian resistance or Allied troops), mutinies, and defections in many areas. Still though, Terboven was a ruthless leader who was fully prepared to burn down the country if he couldn't hold onto it. In OTL he instituted a scorched-Earth policy during the Soviet liberation of Finnmark, in which just about every town and village was burned to the ground as the Germans retreated, and the vast majority of the county's civilian population being forcibly evacuated south with them (the ones who stayed were only able to because they went into hiding in the wilderness). So in the war to take down Festung Norwegen, expect to see that repeated all over the country, except maybe in what few areas that enough troops defect at once to prevent it. It would be a pretty short war; I would expect it to be over before the fall or so (perhaps sometime around the defeat of Japan), but it would be absolutely brutal, and Norway as a country would be left devastated in its aftermath.
I think Sweden entering the war at this stage is highly likely. It's clear which way it's going, the Norwegian refugee soldiers they've been secretly training will be itching to join the fight, and the Western Allies will of course be leaning on them heavily, wanting a way around rather than through Norway's coastal fortifications, and wanting to end the war as soon as possible. That last point both because with the Nazi holdout's war crimes against the Norwegian population and scorched-Earth destruction of the country they'll want to liberate Norway while there's still a Norway to save, and because they wouldn't want the Soviets to have time to grab too much of the country themselves. In OTL there was some worry among the Western Allies that the Soviets wouldn't give Finnmark back, at least until they did. If they get as far as Narvik or so, maybe they'd be less willing to hand over such a strategically valuable Atlantic port. It's a situation that creates more opportunities for conflict between the Soviets and the Western Allies, and probably results in a somewhat more intense Cold War. Sweden breaking its neutrality and joining the war against the remaining Nazi regime would also have major implications for the postwar world; and probably leave them firmly on the side of the West. They could join NATO in 1949 instead of in 2024.
In a world where a remnant of the Nazi regime held out even after Germany itself fell, maybe those Nazi conspiracy theories get a little more screentime. I dunno.
