People are not globally aware enough to seperate Norway, Denmark and Sweden into seperate societies. So it's easy to confuse/combine the Danish "Hygge" (meaning: Cozy), Norways wealth, and Swedens generous social systems (especially as they relate to summer vacations and parental leave/rights).
As such, Scandinavia (where Sweden is for some reason the most popular stand-in name for Scandinavia - probably because it used to dominate the region) is seen as a mythical place where everyone is happy, wealthy and that the lifestyles are cozy.
Yes, there's some marketing in that, just like there's marketing in the idea that the US is free when it's ranks pretty poorly in freedom globally, or that the UK is a world power, when in reality it's about as globally important at this point as South Korea or South Africa (which, is not an insult as they are medium powers on the world stage and not insignificant).
Remember, companies operating globally from any given country will lean in to what they think that country is known for. You can see it a lot with "Swiss-Made" products, especially privacy products, when in reality there aren't any decent privacy laws in Switzerland- people just remember the banking sector permitting numbered accounts because they saw it in media. -- so these things get reinforced over time, by products marketing themselves as "Scandinavian" and then presenting a lifestyle in advertising.