Granted I was examining a kids’ map of the world, but the detail is pretty good. Still, there’s an unidentified country between Poland and Lithuania that is shaded the same as Sweden. I suspect this is a mistake, but what tiny country would this be? It is located on the NW edge of Poland’s northern border.
Lacking a handy world atlas,
My atlas says it’s Kaliningrad Oblast.
Between Poland and Lithuania, you will find the Russian city of Kaliningrad. If it happens to be shaded the same as Sweden, that’s just coincidence.
As to your other question, of course Sweden is on the mainland of Europe. What’s it look like, an island? 
It’s a bit of Russia separated from the rest. I’m going to attempt to name the Russian city anchoring this outpost without looking at a reference – Kaliningrad, I believe.
High five to the ol’ bean! 
After World War II, the German exclave of East Prussia was divided on an east-west line between Poland (which got the south half) and the U.S.S.R. (which got the north half). Its major city, Konigsburg, was renamed Kaliningrad.
When the Soviet Union broke up in the early 90s, Kaliningrad Oblast (province) went with Russia.
Sweden prior to the Napoleonic Era did in fact hold several exclaves on “mainland” Europe (i.e., the enormous peninsula including Poland, Romania, Greece, France, Spain, etc.) but this was not among them.
The Scandinavian Peninsula, of which Sweden is the eastern half, is, however, part of the mainland of Europe, simply connected through the large “isthmus” that includes Finland, the Kola Peninsula and the Karelian area of Russia. Sweden’s only insular areas of any significance are Oland and Gotland, two large islands in the Baltic.
The fact that Kaliningrad Oblast (and presumably the rest of Russia) are the same color as Sweden on some maps (including that referenced by the O.P.) is merely an artifact of mapmaking. Presumably Thailand, Sri Lanka, or Botswana would show up in the same color, for the same reason: it’s another nation that is not contiguous, and there are a limited number of contrasting colors available for mapmaking, to delineate distinct nations.
Well, Switzerland is an island in Europe. Look at any political map. Don’t know about Norway though.