first what you want to do as Scandinavia is essentially bring all of your taxes and tariffs to max and decrease all of your spending to the minimum then make as many infantry as you can afterwards you want to make 10 transport ships so that you can bring your infantry down to north Africa

make a cement factory before unpausing to bring your industry score up and make as many man o war ships as you can without hitting your limit then justify a war goal on morocco

for your research you want to have the first 2 prestige techs then go immediately for market structure so you can add Denmark to your sphere faster when you become a great power

declare war on morocco and siege out the first top two provinces as well as their capital and kill all of their irregular troops, while you are fighting them justify a war goal on Algeria to humiliate them the same as you did with morocco after taking them out peace them out and you should get a lot of prestige from it

obviously abandon Finland as soon as possible if that's the run you're going for

you will shortly after become a great power so make sure to start sphering Denmark as soon as that happens also make sure to do foreign investments in Denmark to make that process go faster

soon after you will have sphered Denmark and formed Scandinavia : )