There's no shortcut for reaching Malmo from the Midwest, and that's precisely what makes routing decisions so consequential. Business class from Milwaukee to Malmo always involves at least one connection, since MKE offers no widebody service and MMX itself is a modest airport better suited to regional hops than transatlantic arrivals — in fact, most travelers on this route actually deplane in Copenhagen and cross the Öresund Bridge by train or car, since CPH sits roughly 20 minutes from Malmo and handles far more long-haul traffic. My preferred build is Milwaukee to Chicago or Minneapolis on a domestic carrier, then onward via SAS through Copenhagen — SAS's A350 business class, with its direct-aisle-access seats and Scandinavian-designed cabin, is the most natural fit for this itinerary and often the smoothest connection given SAS's home turf. Lufthansa via Frankfurt or Munich is a strong alternative, particularly now that Allegris business suites are rolling out on select long-haul aircraft, though availability on this specific configuration remains inconsistent, so it pays to check the operating aircraft before booking. KLM via Amsterdam rounds out the trio, with its reliable 787 or A330 business cabins and generally strong connection banks into Scandinavia.
Having flown all three carriers on this general corridor, I'd note that Frankfurt and Munich both offer efficient short connections to Scandinavia, but Copenhagen remains the more logical final gateway given the Malmo train link — arrive with at least 90 minutes if you're clearing immigration and catching that connecting train yourself rather than pre-booking a transfer. One insider tip: SAS occasionally releases better business award space on the Chicago–Copenhagen leg than on Newark or JFK routings, since Chicago sees less premium demand from that specific SAS flight, so it's worth searching ORD departures even if you're not based there.
Late spring through early autumn brings the best mix of fare softness and daylight — May, June, and September in particular tend to offer better business class value before and after the peak Scandinavian summer crush. Given how fragmented this routing is across three alliances, setting up automated fare alerts is genuinely the smartest way to catch the rare moments when pricing across SAS, Lufthansa, and KLM aligns favorably.