The 'wh' sound /ʍ/ isn't the same as the Swedish 'sj' sound /ɧ/, but depending on the realisation (like how it's pronounced Stockholm) it can sound fairly similar. The 'sj' sound is more fricative.

Also, some English dialects (such as those in Ireland and Scotland) definitely still pronounce 'wh' that way, I refer to the following article for an overview: https://en.wikipedia.org/wiki/Pronunciation_of_English_%E2%9...