I am Norwegian and I believe we also have problems with loneliness in Scandinavia, but perhaps not this severe. While living in the US I did in fact feel very lonely. It was easy to make lots of friends, but most friendships felt fairly shallow. I felt people in America was so into putting on a facade all the time rather than showing their true self and their vulnerabilities.
It could of course just be a cultural difference, the place I was in or whatever. But regardless it was one of the reasons I left the US. I've been able to find deeper friendships in other countries. Although no place has it been so quick to make friends as in the US, getting invited to people's home etc. So Americans are easy to be around and fun to hang around.
But when you are alone in a country without family, you feel a need to have some really close friends.