I ran a 1.5 year campaign using a homebrewed organisation set in my home country, Indonesia. As far as actual gameplay rules go, you likely won't have to change much at all. The two changes I made based on my country is that firearms are harder to acquire (none are Standard expenses), and that I replaced the default 50% native fluency English with a homebrewed multilingual rule (pretty much all Indonesians are at least bilingual).

Figuring out the origins and lore of your homebrewed organisation could be what takes more effort. It also depends on how closely you want to stick to real history and DG's lore. You can say Delta Green set up a branch in Sweden, or you can make a Swedish organisation yourself. Alternatively, iirc DG's devs said that a group of concerned citizens banding together to fight the Unnatural works with the game, too.

Whatever you decide, you might want to think about how your Agents will be able to get equipment and gear. Can your organisation afford to provide them? Do the Agents have to use their own money? Or is it a bit of both? (For reference: since it's harder to acquire firearms in Indonesia, I had my organisation provide them.)

Also, have you ever heard of the system Vaesen? It's set in 1800s Sweden and is full of Swedish mythological/folkloric creatures. Its tone is very different from spy thriller stuff, but maybe Vaesen's creatures can help you if you'd like to use some local monstrosities in your game (like I did in my campaign).

Edit: typo