I think it is because they are also officious, pompous and arrogant and they know it, and know that every one else knows it. That would certainly lead to depression and national drunkenness.
But don't confuse Norwegians with the Swedes (the ones still in Sweden, not the ones here), sir.
I think there is something to the fact that living so far north, during the winter month's they have relatively few hours of sunlight. That can be a factor in depression, and ingraining itself into the general character of the people that live there.
In two weeks in Norway, I never met an officious, pompous, arrogant person. They were charming and helpful. My guess is their lack of happiness might be attributed to hangovers, as they do drink quite a lot. Also, living so far north means little sunshine and much darkness for months on end, which can dampen anyone's spirits.