A person from Sweden or Norway is called a Scandinavian if the specific country is unknown, a Swede if the person is from Sweden and a Norwegian if the person is from Norway. The adjective forms are Swedish and Norwegian. Sweden and Norway are located on the Scandinavian Peninsula in Europe.
The name used for people who live in a particular region is called a demonym. Denmark is also a Scandinavian country and the people who live there can be called Scandinavians. The demonym for Denmark is the noun Dane and the adjective Danish. People from all three countries can also be called European because they live on the continent of Europe.