Okay. You're dealing with simple table file text editing. There are docs in the database which cover the topic, but for brevity's sake, I'll explain text editing in Ice Hockey.
The team names are stored from 0x005e3a to 0x005ebe. The first three bytes at address 0x005e3a are D5 D3 C1, spelling "USA." If you were to open up the PPU viewer in FCEUX, you'd see how the letters are stored in the game, and you'd get this table file to translate between hex code and game text:
What I recommend is using FCEUX to change team names. Load the rom, and from the "debug" menu, go to Hex editor. In the new hex editing window, go to view->ROM File to give you a look at the entire game code. Then go to file-> Load *.tbl File and load the file attached to this message. The table file will translate hex into usable text for you. Then its a simple matter of CTRL+F to Find and typing in the word you want to change, such as "SWE." THis will take you to the address you want. Click on the right hand column, and type whatever country name you want instead of SWE. Then save your rom. Voila! You have changed names.
Other games sometimes use more difficult methods of text storage, but many, less text-heavy games use what amounts to a simple cipher like this. Once you figure out the cipher, it's pretty easy.
Let me know if you run into any problems.