It makes sense that Scania and FennoSwede have the same flag. Technically, they're cousins.
You know how Denmark and the Netherlands always manage to show up in time to harass Germany when he's trying to flirt with Sister Japan? Just glance at a map of Europe...he shares borders with them. They're always nearby!
Unintended most likely, but... Sydney, New South Wales has a lot of New Zealanders living there. A lot. Who's the mother of New South Wales? New Zealand!
As mentioned in the main page, the UK's flag design is a combination of those of England, Scotland and Ireland's old Saint Patrick's cross flag into one flag. So it makes sense that Ireland would be most insterested in reminding England that he doesn't speak for him, specifically since the Ireland in the comics is a personification of the Republic of Ireland.
Denmark is probably scared of nature because he wasn't created by mother nature but by Norway. This also might explain why the ocean doesn't frighten him, because he was born from sand and sea.
In one strip, Norway introduced Jan Mayen to the others as his "friend", Sweden commented that he looked dead. In a later strip, it was revealed that Norway and Jan Mayen were cousins who were in an incestuous relationship, and that Jan Mayen got killed for it. Norway is keeping the corpse of his dead lover/cousin somewhere in his house.