SIM card for Denmark, Sweden and Norway
 

We will be traveling to Norway, Sweden and Denmark at the end of this month. Is there a SIM card that I can use in all three countries?

Although Norway is not a member of the EU, most SIMs purchased in the EU should work there based on my limited research. I plan to buy a SIM when I get to Copenhagen next week. I'll try to remember to report back about using it in Norway.

In August 2022 I bought an Orange esim for France, which also worked in Norway. IME European sims work in continental Europe, including some of the non-EU countries, though there could be exceptions.

Norway is part of the EEA and Schengen though not the EU, but yes European SIM cards work there as well as other EU countries without roaming charges, subject to fair use conditions. The problem can be if you need to top it up when in another country.
The notable exception is the UK. Since Brexit many of their providers went back on the promise to keep free roaming and now have roaming charges. Most EU providers still give free roaming in the UK though.

Anyway just buy one in which ever country you are in first, and make sure it has enough data on it for your needs.
Bear in mind you do not need data for navigation, and of course most if not all hotels, cafe's etc also offer free WiFi though you may sell you soul to access it in some places.

You may use Orange Holiday Europe SIM Card that offers 20GB of data, unlimited calls and texts within Europe, and 120 minutes of international calls, valid in 30 European countries including Denmark, Sweden, and Norway.