By definition, if Finland is included, we’re talking about Fennoscandia and, if you add in Iceland, it’s the Nordic countries.
Denmark is usually included in Scandinavia, but technically it isn’t part of the Scandinavian peninsula.
However, I know that outside Europe the distinctions aren’t all that important.
I would probably pick Denmark as a favourite based solely on their legal right to hit ice-crossing Swedes with sticks. And Swedes suck balls (source: am Finnish).
However, to be somewhat pedantic, Scandinavia either refers to Sweden, Norway, and Denmark, or just Norway and Sweden (the actual Scandinavian peninsula). Finland, Iceland, and the Baltic countries are not part of Scandinavia.
Honestly, all of the origins storylines are very much worth playing as well. Actually playing as the character adds a lot of depth to the quest lines.