How about: In the Finnish Civil war after WWI the Reds are more succesful and the Swedes decide to intervene - formally on behalf the Swedish talking population in eastern and southern Finland but also to not have borders to a communist nation. The war become bloody and soon Swedish communists stir unrest in various Swedish cities and the authorties seem to have lost control in many places and even the big socialdemocratic party is split between sympathy for the striking workers and hate to the communist rivals. Riots and strikes spread to Denmark and Norway too and also here with the socialdemocrats split between the striking workers and the large part of the population not having any sympathy whatsoever for the Reds.
The elections of March 1920 are carried out under chaotic conditions and none of the political blocks have a majority to form government. In the chaos the Swedish navy claim to have caught Soviet vessels trying to smuggle weapons into Sweden. Soon after the King Gustaf V. declare war on the Soviet Union and appoint a government of mainly military persons - and Marshall law - now we are at it... Almost simultaneously in Denmark King Christian X supported by a number of prominent industrialists sack Prime minister Zahle although the PM has a majority behind him in the parliament. This instantly fuel strikes and the socialdemocrats openly calls this a Coup d'Etat by the King (the Danish part is so far OTL).
The King of Sweden openly declare support to King Christian and this has most Swedish socialdemocrats join the active opposition to the King, and in Denmark this has the conservatives (incl. the army) rally behind the King. Soon both Sweden and Denmark are in civil war, at least in the big cities. In the rural areas, which still hold the largest part of the population, the Reds are quickly liquidated. In Denmark not at least through the well organised farmers party (Venstre). Originally Venstre had been in hard opposition to the conservatives, but now see the reds as an even bigger danger. In many places the civilian "Skytteforeninger" (Marksman Clubs) originally intended as a militia to fight the conservatives do the dirty work of rounding up the local reds and eliminate them. The army initially has to deal with mutiny in units mainly recruited in Copenhagen, but soon can focus on simply putting siege on the workers quarters in the biggest cities. The Labour unions had prepared for general strikes by having their own dairies and bakeries, but cut off from milk and grain dairies and bakeries are worth nothing. It soon comes to starving and by autumn 1920 the last reds are captured or shot.
In Sweden it is much the same although the army has to withdraw units from Finland to fight the reds in Sweden.
In Norway King Haakon is a brother of King Christian of Denmark and as a precautionary meassure various reds and Labour union leaders are rounded up in mid 1920.
In Finland the whites backed by the Swedish army are hard pressed as Red Army regular units enter Finland to support ther Red Finnish comrades. At a meeting in Kalmar the three Kings of Sweden, Denmark and Norway agree to form a military alliance and declare war on the SU, not at least on the background of promises of heavy support from the victors of the Great War. It is mainly the Swedes who are committed in Finland however, the Danes and Norwegians really don't see this as their war, but the Danes are talked into sending an Expeditionary Corps to Finland in return for annexing all of Slesvig and stubbornly claim that the main part of their army will have to guard the new border. The Norwegians agree to "liberate" Murmansk.
A formal alliance is concluded with general Pilsudski's Poland.
In all three countries the war is fully utilised to demand sacrifice and efficiency and in general democracy is ridiculed as a silly idea from the Mediterranean "not working up here". Volunteers in tens of thousands from all of the world show up to fight the reds and experience the new Norse Kingdoms reintroducing values from before mankind became weak. Many are veterans from the Great War, some famous like Herman Göring, who soon gain even more fame for organising the Swedish airforce.
By 1925 and after an extremely bloody war Finland is liberated, but if someone had expetced things to return to good old days of elections etc. they are to be disappointed. Any opposition is crushed by the veterans of whom the foreign volunteers often are the most fanatic.
The economy goes quite well however and although the global crisisi from 1929 also influence the Scandinavian economies the strong governments are capable of swift action to lessen the worst consequences for the broad population.
This only increase the general sentiment of "being something special and better" and poets like Kaj Munk and Johannes V. Jensen are prominent in ridiculing parliamentarism and advocating the superiority of the Nordic race and everything connected to it - often called "Folkheim".
The idea about Folkheim is much admired abroad but it comes to a crisis when the Italian Dictator Mussolini declare that he is much inspired by Folkheim and Johannes V. Jensen is quoted in an American newspaper for saying: "He's just a pompous dago with an empty head and a big arse!"
