Yes. At least in that Romans had geographical knowledge of the area as can be scene in Ptolemy's geography. Here is a link to a translation of his work focusing on the north of Europe, which he refers to as 'greater Germany' or Germaniae magnae .

If you read through it you can see that there knowledge of Jutland (known as the Cimbrian peninsula at the time) is very basic and Scandinavia is limited to the baltic isles that he calls Scandia. He does mention the Finni so contact or at least knowledge of the Finnish peoples is also likely. Though basic you have you see in context that Ptolemy lived in Egypt and therefore was on the opposite side of the empire far away for this section of Europe. It can be assumed that Romans living off the north sea would have a better understanding of the Baltic and Scandinavian coast. It can be seen that Romans did have an active knowledge of the tribes that lived in Northern Europe, the names of rivers and towns and basic geography.

There are also Roman artifacts uncovered in Denmark though whether they were deposited by Roman traders or were brought to Scandinavia via third party trade routes is hard to say.