It is a relatively recent change. The word for Greece was "Grækenland", just like the Danish word, until 1932, where a coalition of nynorsk (neo-Norwegian) and samnorsk (Samish-Norwegian) nationalists managed to achieve a political majority in changing the word to "Hellas", because they did not like the Danish origins of the old word.

It should be understood that in written form, the official Norwegian language, bokmål, was almost exactly like written Danish until the end of the 19th century (before 1814 it was exactly the same), where it was gradually reformed to separate itself from Danish.

For context one has to understand that Norway didn't achieve independence until 1905, until then it had been in a union first with Denmark until 1376-1814, and then with Sweden until 1905. So sentiments of independence and nationalism was understandable quite high at the time, and in some respects still are compared to the other Scandinavian countries (the celebration of Norways National Day is a good example).