Thank you! All right, so I believe you’re talking about the second part of the Hetalia Academy strips.

Your answer can be found in Norway’s character note from Volume 4. The wording is slightly different from the dub (which isn’t ever canon), but it conveys the same message.

“This young man’s mysterious aura makes it seem like a troll is standing behind him. His hobby is to gently poke at Denmark.”
Like you said, it’s just affection, even in the form of verbal quips. Note the word gently, as if to tease. There really isn’t any deeper meaning behind it.
