No, timezones don’t change but they are swapped out by countries, offsets and timezones are an n:1 mapping. Multiple timezones represent the same offset, but those offsets are immutable.
CEST will always be +2 UTC (unless something really changes politically).
DST just marks that Sweden changes from CEST to CET from October to May. So Swedens offset changes, but the timezone does not change its offset.