If the Kalmar Union survived, I could see them founding colonies. The far north of Sweden and Denmark wouldn't be able to support a large invading army, so in military terms Scandinavia is essentially an island (except for mainland Denmark, but even then there's only a narrow neck of land that needs to be defended), so they'd be able to devote a relatively large amount of resources to exploration without worrying about being invaded. Given that Scandinavia is quite sparsely-populated, I don't think they'd be able to settle large areas like the English/British were, although I could see them establishing trading posts in OTL Canada: the weather wouldn't be as big a problem as it would have been for Frenchmen or Britons, and a musket-fur/timber trade could potentially be quite profitable.