What country did Uncle David and Nels emigrate from?

Uncle David, the narrator of the story, and Nels, the farm steward, emigrated from Norway to the United States. The Winter Room is set in Minnesota, which experienced a great influx of Norwegian immigrants over the course of the 19th and 20th centuries. To this day, there are more Norwegian-Americans in Minnesota than any other state. It's no accident that the state's professional football team is called the Vikings.
Uncle David is a great story-teller and recounts old tales from Norwegian folklore, such as the story of Orud the Terrible, who was a fearsome Viking chief. Wayne comes to regard Uncle David's stories as nothing but a tissue of lies, especially the one about the strong man—Uncle David himself—who could split a piece of wood in half with two axes simultaneously. But Wayne is subsequently forced to eat a large slice of humble pie when Uncle David miraculously demonstrates his skill in an almost magical feat of strength.