Norway is the most likely, as they only became Protestant when the Danish King deprived them of their Catholic clergy and demanded that all priests would have to study in Denmark--this pretty much assured that Norway would accept the Reformation through force. A good POD in my opinion would be Christian I of Denmark giving the crown of Norway to his second son, Frederick (the same man who succeeded Christian II). I'm not sure how likely it is, but it'd give Norway it's own monarch. Frederick I was tolerant of the Reformation in Denmark, but never converted. So if he's given Norway in lieu of Holstein, we could see Norway stay Catholic. Because keeping Norway Catholic when it's part of Denmark-Norway just... is terribly unlikely, given how early modern politics (un roi une loi une foi -- one king, one law, one faith) operated.