I recall a study that practically groups light brown hair with blond hair proper (the darker brown colours with black proper), the European countries with the highest number of redheads and redhead gene carriers are in Iceland and United Kingdom. If I’m not mistaken, if Icelanders (and Faroese) are believed to be partly descended from British and Irish slaves and the British Isles contain the highest number of redheads and those with the red hair gene, it’s only logical that Iceland and Faroes Islands would have considerably more redheads than the rest of Scandinavia.
This is not to say natural red hair’s totally nonexistent in Scandinavia but like anywhere else in the world and even in the British Isles, it’s not that common. Oddly enough, I could name two natural redheaded Danes (Kenneth Bek and Karl William) but I have a hard time naming any natural Irish or Scottish redhead. Either those two whom I’m familiar with or it still proves the point that natural red hair’s pretty rare. It can be faked pretty well but genetically hard to come by.
(Keep in mind blond hair’s not entirely nonexistent in Scandinavia as much as light brown got grouped with blond proper that it might as well be blond all along and the darkest possible colour a blond gene could achieve in some cases.)
Thor’s thought to be red-haired in Norse mythology but the existence of Scandinavian redheads makes me think this character’s not a stretch really.