The GDP change in 2020 for Sweden, Norway, Denmark and Finland were -2.8%, -0.8%, -2.7% and -2.8%, respectively.
Sweden had no advantage over its neighbors on the economic outcome, and you'd need to cite real data in order to make an argument for mental health. Naïvely assuming a causal relationship with quarantine measures for both without considering positive effects of better health outcomes (and other factors) is fallacious.
You can view JHU's raw data sources at https://github.com/CSSEGISandData/COVID-19. According to that, they are getting COVID death numbers for Sweden from the Swedish Public Health Agency via https://experience.arcgis.com/experience/09f821667ce64bf7be6.... I am not fluent in Swedish, but perhaps someone who is can tell you exactly how the Swedish Public Health Agency measures them. Likewise for the other countries cited.
You can also compare with other neighbors and Europe: https://ourworldindata.org/explorers/coronavirus-data-explor...