Malmö would definitely be the team to join from Sweden. They are struggling to stay alive and has no real possibility of getting promoted to SHL anytime too soon.
Would KHL be able to fund like, a huge majority of Malmös budget if they joined? They are in pretty bad shape financially.
KHL would help them to find sponsors and they would do a lot to promote such a project to make it financially stable in the future.
A team in Malmö also would open the Danish market to KHL and the one in Northern Germany as it would be more likely that people from Hamburg go to a Malmö game than to one of Munich (far closer distance).