And the Danes and Norwegians wouldn't exactly be brimming with joy, either. Sweden-Norway was always supposed to be a stopgap solution, as I understand it.
And then you've got to put Oscar on the Danish throne. I suppose the Oldenburgs could be got rid of at the Congress of Vienna for being too close to Napoleon, but then the Great powers would have to invade, AND favour Bernadotte instead of one of the ridiculous amount of junior Oldenburgs AND THEN Carl XIII would have to remain keen on Bernadotte and the new Scandinavian Union for the next three years.
I can't think of any other way for Oscar to get Denmark without pissing off the Powers. Maybe if Oscar married a Danish princess? But that's a tall order, what with the succession crisis. and even then, it would be his kids who would unify Scandinavia, if at all.