We often hear how German, Irish, and Italian immigrants were treated poorly for one reason or another, from being Catholic or importing their drinking culture at a time where teetotaling was the rage. But immigrants from Norway, Sweden, and Denmark are rarely talked about. Many Scandinavians settled in Minnesota and the Dakotas, how did the population that was there before them react? Was there anti-scandinavian nativist sentiment in Washington, or were they broadly accepted because they were white and mainly Protestant (albeit high church Lutheran that closely resembles Catholic liturgy)?
Some ethnic groups received nearly universal abuse from the majority, but most others were judged differently depending on the context. You are correct to point out that since they were mainly protestant (and also because the were white by even a purist's standard), the majority of Americans cut Scandinavian immigrants some slack.
Most Americans had little contact with Scandinavians because the immigrants tended to arrive in clusters: the Seattle area, and the northern Plains encountered many Scandinavians, but in other places, they were often seen as an oddity. Ethnic humor is by definition usually unkind, but Scandinavians were not exposed to the degree of cruelty exhibited to some: Scandinavians were typified as simple but not stupid, while other ethnicities might be mocked for being stupid - a higher degree of cruelty.
Born in Cleveland, Ohio, Gus J. Heege (1862-1898) was an actor and playwright who gained fame for his "Scandinavian Trilogy," three plays that turned emigrants into comic characters known for their strength, simplicity, and distinct dialect: "Ole Olson" (1889), "Yon Yonson" (1890), and "Yenuine Yentleman" (1895). When he died in Cleveland in 1898, Heege was rehearsing an orchestra for a "Swedish-American" opera that he had written. The immigrant stereotypes of Ole Olson and Yon Yonson (i.e., John Johnson) became the brunt of jokes in the late nineteenth century as more people arrived from Scandinavian countries. That said - and as indicated - other ethnic groups received much more cruelty as stereotypes formed around the perceived shortcomings of those groups.
Unlike many who were seen by the American majority as not belonging and likely never belonging, Scandinavians were generally seen as positive additions to the American experiment - even is the caveat was needed that they would EVENTUALLY be positive additions.