None of this requires a conspiracy theory or 'snatching'. Assange is scared of being arrested, and once he is in custody, being extradited to the US somehow. The Sweden/UK details are irrelevant.
The conspiracy theory is the one that he will be extradited to the US on "secret charges" as soon as he is arrested in Sweden. Some others in this thread compared it to other CIA grabs, for example one in Italy.