Edit: Hit send too soon
This a somewhat tricky question to answer because the both the intellectual trends and various social currents that underlay the rise of nationalism in the nineteenth century simultaneously encouraged schemes of pan-geographic national unity and geographic separatism based upon the national principle.
In Scandinavia by the mid-nineteenth century did possess something of a pan-Scandinavian national movement. As with other movements of this type, pan-Scandinavianism percolated among intellectual circles and had a distinctly romantic nationalist conceptualization of the past and national origins. The Danish poet and intellectual Frederik Barfod's journal Brage og Idun published poems and romantic literature celebrating the national community of the peasantry in the 1840s. In Sweden, the Geatish League sought to recover the regions' Nordic past and recover a pre-Christian tradition. The academics and bureaucrats of the Geatish League were involved in the restoration of Uppsala's pre-Christian and Vasa past and its various festivals celebrating its romantic historical patrimony. The Geatish League found a strong patron in the form of the newly established Bernadotte dynasty which sought to co-opt the pre-Christian past of both Sweden and Norway to legitimize a French-born dynast. King Charles XIV (the former French marshal Bernadotte) and both his son and grandson employed Odin as a symbolic figure for the monarch and encouraged the recovery of the pre-Christian past in both Norway and Sweden.
Although this reconstruction of a Norse past stimulated the pan-Scandinavian ideal, the involvement of the house of Bernadotte in some of these activities underscores a significant reason why the pan-Scandinavian ideals were of limited impact over the long-term. The monarchies of both Sweden and Denmark were largely interested in preserving their own power bases instead of stimulating some pan-Scandinavian ideal. Charles XIV's sponsorship of a Norse ideal simultaneously elevated him as a true Scandinavian ruler in spirit and it also justified Swedish control over Norway. For Norwegians and Danish nationalist activists, championing pan-Scandinavian ideals often meant accepting a degree of Swedish hegemony. Nor could romanticism trump the highly contentious Scandinavian politics of this period in which various liberal, democratic, and conservative factions vied for local and regional control. The confused politics of Oldenburg and Bernadotte dynasties during the Revolutions of 1848 soured the support of pan-Scandinavians for these monarchs and added a further layer of contention into issues like the structure of the state and the national principle.
The etatist tendencies of both Copenhagen and Stockholm also encouraged greater regional particularism at the expense of pan-Scandinavianism. The Scandinavian region was at the forefront of a primary education system by the early nineteenth century and this helped craft a more literate populace. These primary schools sought to educate the peasantry and other masses to be good citizens and further encouraged the growth of the state. The introduction of mass literacy encouraged a more regionally-focused cultural sphere and strengthened regional identity (Danish, Swedish, or Norwegian) while doing comparatively little for a pan-Scandinavian one outside of intellectual circles. The increase in bureaucratization that characterized many European states in this period coupled with the impact of extending education to the masses meant that both the Danish and Swedish state could delegate local control of the state with a degree of confidence. Although there were various attempts by Stockholm to claw back Norway's local political independence, the somewhat precarious position of both Sweden as a mid-level regional power and the peculiar position of the Bernadotte dynasty meant concessions to Norway was the path of least resistance lest Sweden lose newly-acquired Norway like it did with Finland in 1809. The result was this local control, even though done in the name of a personal union with Sweden, allowed a Norwegian political culture to evolve relatively free from Swedish interference. The Achilles' heel of this Swedish-Norwegian union was the monarchy and it was a loaded gun for Norwegian independence; by delegating such local control to politics, the inter-state connections were largely on paper.
But the move towards independent regionalism was not just a byproduct of Scandinavia's peculiar politics, but also a reflection of the larger differences of the region. There was no analogue to the German Zollverein in Scandinavia to unify the region's economy, despite several abortive attempts to do so by various political factions. The result was the region's various economies evolved along different paths with some like Norway being more export-orientated. Moreover, the European diplomatic milieu inhibited any Danish or Swedish politician from playing the role of a Bismarck or Cavour; not only were they prevented from doing so by internal political cleavages, but the capacity of these states to make good on rhetoric of "iron and blood" was decidedly limited. Charles XV had promised full Swedish support to Denmark in 1864, but this mattered very little in the war over the duchies. The emergence of a united Germany and the continued presence of Imperial Russia meant both Danish and Swedish politicians had an incentive to practice separate Realpolitik as opposed to a risky leap in the dark under the banner of some hazy pan-Scandinavian project.
Overall, the trajectory of both internal politics and the external exigencies of foreign policy proved more conducive to national separatism. Although pan-Scandinavianism had some rather prominent proponents in the nineteenth century, in many cases their cause was hitched to the various regional and etatist projects which denuded them of their Norse nature.
A somewhat similar push-pull between larger national identity and local particularism evolving into national separatism occurred in Spain (see the Basques for a prominent example of the latter), but Spanish politics in the nineteenth century is so incredibly convoluted, I'll leave that to some other poor soul to answer that one.
Sources
Alm, Mikael and Britt-Inger Johannson. Scripts of Kingship: Essays on Bernadotte and Dynastic Formation in an Age of Revolution. Uppsala: Swedish Science Press, 2008.
Baycroft, Timothy, and Mark Hewitson. What Is a Nation?: Europe 1789-1914. Oxford: Oxford University Press, 2006.
Glenthj̜, Rasmus. Experiences of War and Nationality in Denmark-Norway, 1807-1815. New York: Palgrave, 2014.