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.