What class are you flying in?
What time of year? (affects the load rate and hence the wait time if you're flying in the back, as well as the potential weather impact)

SAS lists EWR-ARN-CPH with a 40 minute connection at ARN as a valid connection, so 1:25 shouldn't be a problem.
Last time I transferred through ARN, it took me about 10 minutes from getting off the ORD flight until I was at the CPH gate (albeit I was in Business. It would've been slower if I had been in the back).

Immigration is done at ARN, customs at CPH. You won't see your bags until CPH.