Now, this might not have anything to do with the country Oddwarg was born in, but for some reason a majority of this game(ESPECIALLY the underground rooms of the castle and bosses) reminds me of the Nine Lands of Scandinavian mythology.
The two rooms in the first basement, as well as the rest of the island; feels similar to Midgard, the human realm. The castle itself feels akin to the Aesir's domain, Asgard. The ravine is akin to the Vanir's world, Vanaheim. The Hydroelectric power/pumping station feels like the realm of the mountain giants; Jotunheim(Maybe it has to do with the propeller creature you encounter at the end of it, but I dunno), and the lava cave level feels similar to the realm of the fire trolls; Muspelheim. The air pump level reminds me of the light elves' realm of Alfheim(presumably because it leads to the inside of a great tree after) and the weapons factory reminds me of the domain the dark elves and dwarves share; Svartalheim. As for the ice cave level? you can pretty much see quite a few parallels to Niflheim, the realm of mist and cold. But then, that just leaves the chasm level. I fail to find a more fitting world for THAT level than the one that can only house the dead; the notorious Helheim. This final choice is especially fitting when not only the name "Hel" is in the title, but is also part of the game's story as well.
Then again, hey; that's just a theory. ...A GAME THEORY! (I'm so sorry. Had to do the reference.)