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 
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