Sure, but what would the point be? It would only be a cryptocurrency in name. No reason to go through the trouble of using a blockchain if you're just trading credit. The selling point of Bitcoin is decentralization, and pegging requires centralization (a counterparty who will transfer national currency to your account upon receiving crypto-coins).
It could be used as a way for the government to tie its own hands and thus make a more credible promise about future the rate of money creation.
Ecuador did this in 2000 via dollarization, which introduces other problems which a blockchain would not.
If they have been into bitcoin for some time, "worry" might be overstated - they are probably well off - financially - as of now.
Not the government of Iceland, it should be noted.