To my knowledge, this has been done surprisingly few times.
How could the Kalmar Union (I know it wasn't officially called that, but regardless) survive? IOTL the Swedes rebelled over under-representation in government. The union collapsed, more or less as a result of Sweden breaking away, in 1523.
So an obvious POD would be to have an early Union Monarch introduce some reforms that keeps this rebellion from taking place and makes Swedish and Norwegian people reasonably happy about the situation.
Now, how would things develop? How would the Union relate to other European powers (Russia, Britain and Prussia/ Germany in particular)? Colonization of North America or elsewhere?
On a loosely related note: As a different POD, what would it take for the Scandinavian unification movement in the mid-1800's to succeed, and how would this affect Europe? Which power bloc would it likely gravitate against?