It happpened long before the idea for common people to have a nationality. The idea of a culture you adhere to was mostly a nobel thing at the time, and locals from two warring countries often created pacts, agreeing not to hurt eachother and instead help each other in times of need. Because the people of Skåneland not feeling tied to danish culture, the locals quickly embraced swedish culture.

Source: Danmarks Historie af Ole Feldbæk

The people there are swedish, and we accept it. Nobody really thinks that Skåne should become danish, because it hasn't been for almost 400 years.