Hi Fredrik, I think that can be done, but the page tree might become a bit messy. I would try and consolidate the sites to share as much structure as possible.

I think all markets need to share the same startpage (but that doesn't of course mean that it have to look the same for all). Below the startpage you can have pages/structures that are the same for all languages, but you can also have pages/structures that are only published in a subset of languages.

The tricky part is that you want non-standard locales, for example en-SE. If I remember right, Episerver can only use the locales that are available in Windows on the server. Unfortunately, I think you can only add custom locales to an on-prem server, but on an Azure web app that is not possible.
You could also use another locale (let's say en-IN) and set the Web address prefix in Episerver admin mode to "en-SE", or whatever you prefer. 

When the end-user visits the start page for the first time he/she can be presented with a list of the different country sites to visit. Set a cookie with the selected choice, and the next time you redirect the user to the country/language that was selected the last time. You can also use IP-lookup to make it simpler for the user to select the "correct" country/language. This solution is used on a solution I worked on recently.

Hope that helps