Really, neither Norway nor Sweden felt threated by anyone IRL and thus remained neutral. Finland would fear the reds, and alliances with Poland and Baltic states would make sense, but the same logic as IRL would kick in; Why get involved in other countries' problems. Poland and Germany could go to war anytime, same for Poland and Lithuania. The Baltic nations were small and vunerable, why bother try to help them, when that would force resources elsewhere than the national defense.