Here are three scenarios;
1) Kalmar Union miraculously survives; reformed or Swedish secessionists crushed.
2) Sweden forms a second Kalmar Union with Denmark and Norway after defeat in a Great Northern War type conflict where Sweden loses control over the Baltic States.
3) In a Napoleonic Victory type scenario, Sweden gains Denmark and Norway, forming a UK style government.
Officially, I'd imagine in all scenarios the term for this country would be the United Kingdoms of Sweden, Denmark, and Norway (eventually Finland as well), but would Scandinavia be used colloquially? Scandinavia was apparently not so Colman a term before Romanticism, if that's he case, what term would be used? "Norden"? "Nordmark"? "Norsweden?" "Nordland"? "Nordenland"?