I wish I could help. I don't know any Scandinavian language myself, but I live in Minnesota, where a lot of Swedish and Norwegian immigrants settled in the 19th century, and I do hear Scandinavian Christmas carols occasionally.

Here are links to (1) a list of Julsånger (Christmas songs) at the Swedish version of Wikipedia, and the corresponding pages in (2) Norwegian and (3) Danish.

While researching this, I ran across one song that I recognized, and I posted it in another thread, since it's probably not the one you're looking for: JEG ER SÅ GLAD HVER JULEKVELD.