The thing that my girlfriend struggled with when she moved to sweden was our swedish letter "y". She can do it now, but it still doesn't come naturally, she has to consciously move the right muscles to pronounce it.
the thing this misses (understandably because even swedes don't realize it) is the precise pitch (yup, swedish is basically a tonal language, like less complicated chinese
i really can't put it into words but if you listen to a swede saying it you'll hear the sing-song-y-ness, and that the end sounds of the words are.. stressed? and lengthened
there's also sort of a stop in blå, b'lå, i think we sort of eject the B more? at least i do
Wait, "blo" as is "blow" or "blue"? English is stupid language...we have no accents to show which form of a vowel we're using. I'm assuming "blow", as that makes the most contextual sense, but again, English is dumb.
Edit: well, kinda. the sound doesn't exist in English but the closest i can think of is the o-sound in "score". and there's no diphthong, which is why people tend to write "blo-". it's a flat sound, which English sort of doesn't do.
They don't have one for blåhaj, but Wiktionary has an audio file of someone pronouncing blå (blue) in Swedish. The second half of blåhaj sounds like English "Hi," and the phonemic transcription of the full word is /ˈbloːhaj/. The /bloː/ part is kinda like how someone from Glasgow or someone with a strong German accent might say "blow."