Learn Croatian: Što znaš o Švedskoj? - What do you know about Sweden?

Švedska is an adjectival noun. Even though it acts as a noun meaning Sweden, grammatically it declines exactly like a feminine adjective. Since the preposition o requires the locative case here, we use the feminine locative adjective ending -oj.

Are there other common countries that follow this exact same adjectival pattern?

Yes, most country names ending in -ska, -ška, or -čka behave this way. For example, Hrvatska (Croatia) becomes o Hrvatskoj, Engleska (England) becomes o Engleskoj, and Njemačka (Germany) becomes o Njemačkoj.

How would this sentence look if we asked about a country that is a regular noun, like Srbija (Serbia) or Kanada (Canada)?

Regular feminine nouns take the standard locative ending -i. So, the sentence would be Što znaš o Srbiji? or Što znaš o Kanadi?. Notice they do not take the adjectival -oj ending used for Švedska.

Does the preposition o always take the locative case?

When o means about or concerning, it always takes the locative case. It can sometimes take the accusative case when it means against (like physically bumping against something), but with verbs of knowing, speaking, or thinking like znati, it is always locative.