This is from Season 5 episode 13 "Bend Her"

Out of context it looks like the professor is angry at Sweden being multicultural (which wasn't when this aired) and to top it off, the people holding the banner "GO SWEDEN" are two black/brown men with a white blonde woman in the middle

While this is a coincidence, it's amazing to see it now.
t. a Finnish

Heh, I have a feeling I know which commercial you're talking about.
But to answer your question, the 3 Scandinavian countries by definition are Norway, Danmark and Sweden , but to it can also be added Finland and Iceland.