I don’t know of any S-N nonstop, but was recently considering an ORD-SEA-SFO return for SFO-ORD for an end of the year elite qualification as well (in my case AS, solved it another way though).
Speaking of OSL, I happened to notice this morning Jan 4 EWR-OSL-BLL Jan 10 BLL-ARN-EWR and was surprised because where is CPH?
I haven’t visited Legoland while living in the US, and for a scheduled SFO-CPH-BLL (was less expensive) next year we’ll jump on the 43 bus to the Vejle train station.