No, it's not complicated at all. Instead of joining the Danish resistance (who, you may recall, were fighting against the occupying Germans), 10,000 Danes chose to collaborate and fight FOR those very same invaders. Last time I checked, the Soviets never invaded and occupied Denmark, did they? But you seem to think that the Soviets actually posed a greater threat at the time. No offense, but perhaps you are the one who should spend a little more time thinking about this one...
Please don't twist my words or intent.
Of course the Russians didn't invade Denmark or any of the Scandinavian countries. But the threat was very real and to suggest they didn't have Scandinavian intentions is to be blind to well documented history.
In what is perhaps the simplest and most obvious illustrative example, assume you are a patriotic Swede in the 1930s, looking eastward at "Russia". You have seen several decades of chaos beginning with the Bolsheviks (I assume we don't have to go into the history of Bolshevism and their Marxist roots and expansionist proclivities here). You have no doubt they want to sweep westward to the sea, taking Finland, Sweden and Norway with them into their Communist world, and Denmark is right on the way to northern Germany.
The most elementary review of European history of that time would reveal the state of the Swedish panic at the thought of being overrun by Russia. It played heavily into their assumption of a "neutral" status during the war, (much as I disapprove of that decision).
The Communist thread to Sweden also played into their decision to supply Germany with high quality steel from the mines in northern Sweden, both directly by sea, and over the mountains by rail to the captured port at Narvik, Norway. It was these steel shipping routes which we tried to block and Germany tried to keep open with our navies. Norways strategic location along with the heavy water plant, and to protect against English invasion is why Germany was in Norway to begin with. The didn't go there just to conquer the country. In the process, it tied up a third of a million German troops who luxuriated in Norway for the duration, far away from any real fighting.
So what are your options as a budding Swedish patriot? You cannot join your own military as it not actively fighting the Russians (here I ignore some small contrary history.) You could go to England and join up, however you have never been there, getting there from Sweden is extremely difficult, you really don't know how to go about doing it, and you don't speak English anyway. The same problems exist with joining the Americans, the French (spare us), and the rest of the Allies. One obvious and logical route to patriotism is to join a group of your buddies who are joining a special German contigent of Swedes who will be placed on the Russian front to fight the Commie b@$tards. In the light of prevailing circumstance there is nothing subversive about that.
From this example you can go to similar but less straightforward examples of the Norwegians, Danes, and escapees from other European countries who joined the Germans to fight the Commies.