I honestly cant think of much nordic humor that has traveled the little pond to your shores - but we had a Norwegian remake (https://en.wikipedia.org/wiki/Fleksnes_Fataliteter) of Galton and Simpson's scripts for the British series Hancock's Half Hour. That was very popular in all our countries.
If we are talking movies, then several of the movies written by Anders Thomas Jensen (https://www.imdb.com/name/nm0421314/) are indeed very funny with a very distinctly nordic bent. Especially In China They Eat Dogs, The Green Butchers and Blinkende lygter
They are all quite insane...
