I actually looked into this, part of the explanation is that in the 80s, Sweden entered a public/private partnership to subsidize the purchase of home computers, which otherwise would have been prohibitively expensive. This helped create a relatively wide local consumer base for software entertainment as well as have a jump start on computer literacy and software development.
This is the real explanation. Couple that with a push in the late 90s/early 2000s to roll out high-speed unmetered internet in the form of ADSL and later fiber.
Finland also has a disproportionate amount of highly successful games compared to the population. I guess one theory is that good social safety nets make it more feasible for people to take a risk starting an indie game studio that might not yield any money for years instead of working for a big corporation for a guaranteed paycheck.
Quebec also has a disproportionate amount of successful games for similar circumstances. Video game salaries are pretty well subsidized (although it was originally only meant to encourage Ubisoft to open a studio then other companies joined or got created so they kept it). The current government is threatening that though.
That's on top of socialized healthcare, low electricity cost, and the Canadian Media Fund but those all apply to the rest of Canada as well.
Quick list on top of my head:
Indies: Outlast, Dead by Daylight, The Messenger, Spiritfarer, Ultimate Chicken Horse, Fez...
AAA: Deus Ex, R6 Siege, For Honor, some of the better Assassin's Creed and Farcry, Batman Arkham Origins