Maybe, but keeping the Germans in the Baltic, would also mean keeping the British out of it and keeping the Russians in the Baltic, a situation none of these would like.
A Scandinavian Confederation would be difficult to establish, worse (perhaps) to maintain.
Though the British might encourage it for keeping the Germans in the Baltic, they wouldn't like it for the possibility of a neutal Scandinavia keeping them out. The Germans got around the problem by means of the Kiel Canal. The Russians would probably see the establishment as a threat to Finland and oppose it.