They aren't actually located in Stockholm, but close enough to use resources from the Stockholm Area. Supposedly the DCs will be located in Västerås, Eskilstuna and Katrineholm[0].
[0] http://digital.di.se/artikel/amazon-oppnar-tre-datacenter-i-...
[0] http://digital.di.se/artikel/amazon-oppnar-tre-datacenter-i-...