Being a pessimist, I still think the three Baltic states would have fallen, even with a solid Swedish-led alliance.
Remember that the ultimatums of 1939 were first made to each of the three Baltic states, which accepted them, and only then to Finland. With such an alliance in existence, I think the ultimatums would have been offered in the same order, and if the Baltics rejected them (being stronger militarily), the Winter War attacks likewise would have swept from south to north.
A key question is whether Sweden and Finland would have been willing and able to commit large forces across the Baltic if the Soviet offensive had begun there. If so, a Baltic War could have dragged out through 1940. If not, it seems that Sweden (and Finland) would have to accept an armistice once the Baltics were occupied.
In any event, it seems likely that the Soviets would have delayed attacking Finland at all until the Baltics were captured, so if their fiascoes and humiliating losses had happened from December 1939 to March 1940 (or later) against the Baltics instead of against the Finns, the Finnish campaign might never have happened at all.
An interesting note is that an earlier version of the Molotov-Ribbentrop agreement actually gave Lithuania to Germany. If a Baltic alliance had held militarily for the first stages of a Soviet attack, might the Nazis have attacked Lithuania from behind? Stalin might have even accepted such a development, if he thought he wouldn’t get Estonia and Latvia (much less Finland) without it.
Part of my pessimism stems from the naiveté prevailing about the true nature of the Stalinist regime, and part from how little solidarity there was between the small countries. In Latvia in 1939-40, for example (this is anecdotal, I confess), there was a widespread sense of relief that the government had acted sensibly by granting the Soviets bases and not being stubborn as the Poles and Finns had been. The Ulmanis regime did nothing to dispel such illusions.
Even if the Baltics fell, though, this scenario leads to other possible after-effects: (1) Sweden, like Finland, is no longer neutral but sides with Germany against the Soviets—especially if they suffered losses in a Baltic War. (2) With no charade of having joined the USSR “voluntarily”, the Baltics, if occupied in 1944-5, become satellites like the other eastern European countries, and avoid being crammed full of Russian colonists.
It’s hard to resist the temptation to keep spinning out possibilities!