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https://steamcommunity.com/sharedfiles/filedetails/?id=2886275454
You can find this (1st) screen in the Cultures tab, click on Nation Formation, and then click on Scandinavia ( or a different country such as Germany if you are playing as Prussia, etc.).
You have to research Pan Nationalism Tech (it comes off of Nationalism) in the Social Techs.
AND control 11 of these 15 States. Control of Schleswig-Holstein requires controlling Lubeck (it is a split State). I did not have Lubeck. So I needed Iceland. Normally Sweden will not have the 3 Finnish States since Russia controls them.
Sweden was able to make Denmark into a Puppet (in it's 1st Diplomatic Play against Denmark), and then had the 11 states needed, so I just had to research Nationalism and then Pan Nationalism. (It takes awhile to research them, along with other Techs).
result Scandinavia formed in Feb 1850.
https://steamcommunity.com/sharedfiles/filedetails/?id=2886279988
Denmark also controlled Iceland and colonies in the West Indies and Togo, That I also got merged into Scandinavia.
I was a Major Power #10 in world with 218 Prestige before forming Scandinavia, was #10 with 230 Prestige after forming Scandinavia.