The only mention of Sweden in Wolfenstein: The New Order is just to shit on them for collaborating with the Nazis and for subjecting the Sami to horrible race science
Also 
at this newspaper clipping about the Nazis nuking New York:
"This final act of violence may have saved millions of lives that would have resulted from a land invasion of America," said the German leader in a press statement following the announcement.
I wonder what the writers meant by putting these words in the mouth of Adolf fucking Hitler 
TNO and TNB are both fairly constrained in locations and scope, mostly focused on action. TNC took that criticism and goes a lot farther with it. Not to spoil too much, but you get to see a little of how the occupying Nazis have alllied with the KKK to oppress people (including the KKK), and some other more up-close examples of how a Nazi regime works, and is bad.
The angle of Jewish people is explored uh... somewhat. TNO does have the level where you escape a concentration camp. Secret magic ancient Jewish technology, stolen by Nazis, is framed as the reason why the Nazis are so powerful in that universe. So that's a little... odd.
It kind of comes back to something my partner brings up. The problem with bad guys in media is that its more fun when the bad guy is cool, kind of a bad ass. Media portraying Nazis often make them very monstrous and evil, but also makes them look really cool. Starship Troopers and Star Wars both base their (very cool, very futuristic) fascists on Nazis. They're strong willed, iron jawed, smart dressing, (evil guys, totally evil!), have better tech than you, have bigger bombs than you, and so on.
This is so bad in Star Wars now that they've effectively turned a series about freedom-loving rebels vs space nazis into a red team vs blue team sports match where it doesn't matter who you root for as long as you keep buying more red/blue team merchandise.
I simultaneously admire the game for having the balls to do the camp level with giant smokestacks belching smoke from incinerated Nazi victims looming overhead while also feeling like with a few aesthetic changes you could've passed it off ass a Combine labour camp from Half-Life
Also I looked up what happens if you save Wyatt instead of Fergus, and the African-American resistance member that shows up in his timeline tells Blaskowicz "back home, YOU guys were the Nazis" after talking about his experiences in 1940s America. So yes, there definitely is some discussion of racism even in TNO. If this game had come out a few years later, gamers would have gone nuclear over that scene
Yeah, the secret Jewish technology stuff brings up a bunch of really not great implications for a game about killing Nazis.
I think the Nazis relying on stolen ancient Jewish technology is meant to be both ironic and a riff on Raiders of the Lost Ark, but yes, the whole globe-spanning ancient Jewish order of super scientists was my least favourite part of the game's plot and introduces a bunch of questions that the game just handwaves away