No realli! She was Karving her initials on the møøse with the sharpened end of an interspace tøøthbrush given her by Svenge - her brother-in-law - an Oslo dentist and star of many Norwegian møvies: "The Høt Hands of an Oslo Dentist", "Fillings of Passion", "The Huge Mølars of Horst Nordfink".

Do they sound different in a Swedish accent?

Neither actually. It sounds more like the e in permit or term, the u in uuh also gets close. They are not the most common sounds of the letter but I struggle to find analogous in English for the more common sound.

The ø sounds more like an ö from German. In fact, Swedish uses the ö instead if the ø.

The monty python slides are just a humørous stylization, nothing more

Because you've never watched Monty Python I'd bet.