A metaphor for Sweden's closeted gayness. Also we don't use the term "closet" in England, we tend to call it a wardrobe, or a built in wardrobe, so he clearly doesn't get the joke :p
Sweden is honestly one of my favorite Nordics, the other being Greenland because I can relate to the whole ' I ain't afraid of tha--OHSHNIKEYSI'MOUTBYE' thing.