North to the Future, 1934.

On the dawn of the new 20th Century, Norway tried to independently split from its neighbor, Sweden due to ignorance of Norway's demand of foreign policy to Stockholm. King Oscar II, in this timeline, saw the potential of almost-breaking-up union between his country and Norway. He called upon the governments of both Sweden and Norway to negotiate the proposal for "Federation of Nordic States" to recreate the modern-time Kalmar Union. Norwegian citizens and its government had doubts at first. But after King Oscar II made it clear that there would be no more depending on Stockholm on how Norway would run. Norway would get there own autonomous government. On 26 October 1905, The Federation of Nordic States was formed. Norway was granted, by its own right, to appointed its own head of state. So then, Norway sent the delegates from the Storting to offer Prince Carl of Denmark the throne of Norway. Prince Carl ascended the throne as Haakon VII on 18 November 1905.

Finland gained the status as its independent country in 1917. As the constitutional monarchical system, the parliament of Finland elected Frederick Charles of Hesse to be the new King of Finland. The new monarch along with the people of Finland has ambition to join the Federation. Referendum for the accession to the Nordic 'Union' began on 3 March 1919 and the result is 79% of its population said 'Yes' for the joining it. It was incorporated as a new state in 17 July 1919.

As for Denmark, they were rewarded with their old land Schleswig-Holstein for their contribution to the Great War (and for 'Copenhagen', my bad. lol) They decided to join with the Northern neighbor to secure themselves for a horror southern neighbor.

Federation of Nordic States joined in for the Allied Intervention in Russian Civil War. It gained the Baltic State and Kola Peninsular for the Federation. The Baltic States, along with Kola, gained the autonomous government like the other states. But they cannot elected any King for themselves because the previous proposal to bring one of the Russian Imperial Family to be the king over these lands inflamed the people inside these territories. The decision from Stockholm made a rather 'smart move' by appointing their own King of Sweden as the 'King of the Baltics' and let them elect the Governor-General for their own choices and for Kola, it was incorporated with Finland after that.

As time march on, the Federation grew more powerful and closer ties altogether as its southern European neighbor becoming the Juggernaut of the horror Hitler's War Machine. The war is coming in any years now. And 'Time' is the only thing that decided whether the Nordic States will be together or break apart again.

EDITED ELEMENTS:
Copenhagen location fixed
Denmark border adjusted
Vilnius location fixed 
Baltic sub-border removed
Kola added to Finland
Stockholm location adjusted

ADDED ELEMENTS:
Major Cities 'Riga' and 'Murman' added
State capital for Sweden 'Gothenburg' added