Okay, let's suppose that gustavus Adolphus wins at Lutzen. It's heroic, it's epic... and then what?
Well, he won the battle closely, he only lost his life there ...
Of course, neither Sweden nor France had entered the war for the scant territorial gains they made IOTL. It was a war to establish a claim to univerrsal power, from Sweden, France, as well as from the Habsburg kin. In this sense, they all failed, and Europe had to face that such a claim would certainly never be fullfilled.
So "winning" in the narrow sense would mean that Sweden could keep a hegemonial position over much of central Europe. This situation was given during Gustav Adolph's short, but excessively successful campaign 1631-32. True that he considered claiming the title on the Emperor, which in the sense of that time is unique and excludes rivalling imperial titles. He already had shaped much of such a New Empire through alliances, by ...
giving out bishoprics like candy, as fiefs, even though he didnt have the authority to do so.
So the main question would be, could G.A. continue to reign 60% of Germany from the Martinsburg in Mainz if he survives the battle of Lützen?
In short term, this is a military question, and I doubt that Wallenstein, when reinstalled, would not be able to constrain G.A. roughly as much as he did IOTL.
But then all parties in the later Thirty Years war were at the brink of collapse at least once, so it takes not many random detail changes to turn military fate.
Then again, the military disaster Austria suffered close to the end did not cost it so much power in the peace treaties as the "victors" (seemingly?) could have enforced.
@Adler:
Caution with Brandenburg, you may as well butterfly away Brandenburg's rise,
which is intimately related to the TYW as it happened IOTL.
And I don't believe Sweden would rule over Denmark in the long run, despite potential analogues of Thorstenson's War.