The lack of feudalism as a contrast to other nations and the excess of Lutheranism were mostly a long time ago as was the Hanseatic league. And while Scandinavia looks homogeneous to outsiders, especially to those from far away, the three countries have distinct characters and distinct histories. Part of how each behaves has to do with the climate and topology of each country as well as the accidents of history in recent centuries. At least one Danish king was famous for picking fights with his neighbours which is one reason why Denmark is so small, Sweden had a French king for a while which left its mark on the language and the structures of society. Norway for a long time was simply far away and difficult to travel in which means that decentralisation worked as there was almost no choice. Towns only 10 km apart on the map might have very distinct dialects because there is a mountain in the way meaning that it is a 100 km trip from one to the other.
The glib answers, as I suspect you were saying, are usually wrong or very partial (in both senses of the word).
I mean, sure, not completely, they definitely had some of their population deported by Nazis, but it wasn't such a major impact as elsewhere in Europe.
The WWII in Scandinavia was particularly bad, including the occupation of Norway and Denmark.
https://en.m.wikipedia.org/wiki/Operation_Weserübung
They did escape the contemporary ones the same way any other country in Europe did anyway.
But the king of Norway and members of the army escaped to London and directed the resistance from there.
Ask the Jews that owned the houses and nursing homes that were confiscated for the Lebensborn project and the kids that survived it (not many), what they think about it.
Others had it worse doesn't mean they escaped the war and its consequences.
If the eastern block is where you draw the line, you could argue that many parts of Europe escaped the war.
But it would be historically false.
Finland is somewhat exceptional among the Nordics as they were quite poor and had some shit to deal with from Russia (and Sweden) but managed to become rich and high trust.
They have been at war for 2 centuries like much of Europe.
Depending on who you ask, Ottomans were their allied or their enemies in Scandinavia, at times they have been both like Denmark allied of Ottomans against Russia that then switched side and sided with Russia that gave them land from Sweden.
https://i.redd.it/4r4yx17hf9a51.png
There were big differences between Scandinavian countries and they have been at war for a long time.
Denmark for example owned Ghana, like Belgium owned Congo.
They were richer than say Finland.
France has been involved in less wars during the same time span.
Another example: Spain and Portugal weren't bombed during WW2, they were not occupied, they stayed mostly neutral, but didn't develop an high trust society.
It must be something else.
If I wanted a glib answer I'd attribute it to a combination of less feudalism and more Lutheranism, plus a bit of Hanseatic trading.