This is much less of an issue for Sweden and Finland than other non-NATO members, as we're an EU state and article 42.7 of the Lisbon treaty obligates other EU members to assist in case of military attack.

So any Russian military retaliation that occurred between Sweden announcing they intended to join NATO but before they officially did would, in effect, be an attack on the whole EU block. Which is tantamount to a direct attack on NATO.

Finally, Sweden has several bi-lateral defence agreements with countries like the UK and US. It's obviously not technically the same as being a NATO member, but many people in the Swedish defence establishment regard it as closely equivalent.