The band is called "Apocolyptica". Rock music played on Cellos. INSANE!
Originally it was just about music and Sweden was dressed up for pop, but it then turned into a comic about the famous Scandinavian metal scene. Norway, Sweden and Finland are known for metal, while Denmark is better known for rock. Iceland is of course dressed up as Björk. Oh, and Finland has that weird reddish skin-colour because a lot of the Finnish metal and rock bands I’ve seen are painted in some way.