In your game I think the Allies should continue to operate historically. Use USA production to generate local air superiority in the north and invade Denmark. (Don't drag Sweden into this but even if you did this would likely only make the Axis stronger at this point). Just use Denmark as a base for strategic bombing of deep German targets as probably neither side would be able to break through the Schleswig-Holstein bottleneck. Though it will be difficult for the Allies to even reach that border, that close to Axis reinforcement cities.
Simultaneously I would try and return to Europe via the NW Africa front and threaten the Axis oil holdings in the Middle East via securing the Indian Ocean, if you still can. Maximizing production at every Allied factory hex will be critical.
Their goal in Sweden possibly is to seize some extra resources and a factory as OIL is getting pretty harsh in consumption.
I'll note down Denmark as future possibility - though a coup of hand at Copenhagen with Paras could be attempted too. But Germans have got 2 units there now.