Denmark is a lot closer to Norway than Sweden. Denmark has a third of the COVID-related deaths of Sweden. I think the actual numbers are more illustrative here than fractions:

    - Sweden: ~1450 deaths per million
      Population: ~10.2 million
      Density: ~25 people/km^2
      Urbanization: 88%
      Rates compared: 10x Norway, 8x Finland, 3x Denmark

    - Denmark: ~450 deaths per million
      Population: ~5.8 million
      Density: ~137 people/km^2
      Urbanization: 88%
      Rates compared: 3x Norway, 2.5x Finland

    - Finland: ~190 deaths per million
      Population: ~5.5 million
      Density: ~18 people/km^2
      Urbanization: 86%
      Rates compared: 1.2x Norway

    - Norway: ~150 deaths per million
      Population: ~5.3 million
      Density: ~15 people/km^2
      Urbanization: 83%

2x seems like a much closer ballpark than 10x, especially with Denmark being part of mainland europe and significantly denser? (Denmark has a higher population than Norway on 1/10th the surface, excluding greenland).

Density may play a role, but Norway, Denmark and Finland have urbanization rates of 83% to 88%. E.g. a fifth of Norway's entire population resides within the Oslo metropolitan area and a fifth of Sweden's population resides within the Stockholm metropolitan area.