Greenland would have totally ruled that Union!

BTW ... it wasn't 5 countries till recently as I will explain below.
well considering you had Denmark-Norway until 1814 then Norway and Sweden were joined in Union till 1905.. you simply need to get the Danes on board, but since Denmark allied with Napoleon and had Norway removed i am thinking there may be a bit of animosity against Union.
The other problem is that between 1721 and 1809 Sweden pretty much gave up the ghost for the great power status as Russia was coming into its own.
now considering that Denmark was the bigger colonial power of the three i would wager they would have more influence depending at what date we are talking.
If we are talking Kalmar Union then i would suggest having either Sweden be more passive towards Denmark.. (not probable) or have Denmark be less aggressive and work towards a closer form of federated Union.
If this could be achieved then they could easily have been a decent sized northern power with the capabilities of defending and acquiring new territories elsewhere. they would also play an influential role against and or for PL, RU and the HRE.
I could see trouble brewing with England as they competed against one another. Would we see northern Baltic German states merging into the union? IE Pomerania, Mecklenburg?