I did a search and found that it was Norway that was occupied by Germany. I suppose that is an easy mistake to make, but he should have checked to make sure.
They may have mentioned Norway. That Norway was occupied is well-known: the name of the pro-Nazi Norwegian who was put in charge of the government, Quisling, became a common noun (used of similar collaborators in other occupied countries). An outfit like Fox should have some knowledgeable fact-checkers who know enough about World War II to know that Sweden was never occupied.