1918
Soviet forces intervene in Finland, securing victory for the Reds in their civil war.
Sweden sees its traditional enemy now all dressed up in red just next door. More militarist government throughout the 20s and 30s build a strong and comparatively modern standing army. Perhaps a failed intervention in said civil war also plays in.
1940
Allied attempt to secure Narvik (Norway) and the mines of Norrland in a blitz-invasion is foiled and thus fails miserably. They however invade Iceland to prevent the Germans or their allies to do so. Norway and Sweden enters military alliance, with Denmark joining a few months later. Weserubung is prevented as Germany sees no need. Though officially neutral, the Scandinavian alliance leans heavily towards the Germans.
1941-42
As Nazi Germany commences their invasion of the USSR, the Finns revolt and the Scandinavian alliance openly intervenes. The rest of the Allies declare war on the SA but the fighting is restricted to pointless (mainly naval) raids.
Soviet resistance in Finland is gradually mowed down, and the Finns naturally join the Alliance. Further, the alliance severs Murmansk and take control of Karelia.
Meanwhile, the Germans are bogged down in Stalingrad, and it becomes more and more obvious that the war is being lost.
What now? Hitler will want more "commitment" from his ally, but they (the Scandinavians) just want to keep what they've taken.
A separate peace with the USSR would likely bring Hitler to a tantrum and result in war. Wasting tens of thousands of soldiers in the USSR for no other reason than appeasing him is almost as bad, especially as the USSR is going to come "knocking the door" soon enough anyway. Perhaps they pull a Franco and demand unrealistic "help" to be able to fight, perhaps they simply misinform the Germans that lots of fighting are taking place in the north, while secretly seeking a separate peace with the USSR, perhaps returning control of the Kola-peninsula.
My suggestion, if you want a post-ww2 fascist Scandinavia is: Have it acting obstinate during 1943 while secretly negotiating with the USSR and the Allies, franticly arming for a possible German intervention...
Which never comes, though vitriolic threats are thrown their way. As the USSR get up to their feet, the Alliance has negotiated a "phony war" in the north where ethnically Russian territories as well as land access to Murmansk is returned.
Now, who's the bigger snake? Would Stalin attack first opportunity to avenge the defeats of 1941, despite a treaty?
To further cement Fascist Scandinavia, have Stalin initiate a large-scale war in the north in 1944. The USSR gains some territories, but at great losses, and peace is concluded in late 1944 with everyone still hating each other, paving the way for a Western/NATO aligned fascist Scandinavia during the cold war.
The most likely development into a "fascist" state in Sweden would be the Social democrats turning more militaristic (see above) and eventually turning the country into a virtually a one-party state early in the 30s or late in the 20s. Due to communists supporting siding with Soviet and the Right enthusiastically supporting Hitler, the move towards a one-party system is cemented during the war due to these parties becoming outlawed.
After all, the first legislation of eugenics was in Scandinavia. Nazis losing their influence gradually could simply mean a more scientific take on eugenics. IOTL a bastard-version of old Nazi eugenics was practiced well into the late 60s, meaning you could get forcibly sterilized for "looking stupid" among other things.