I am guessing no, because there is technically no "Front" and thus no "Entry Space" as defined by the rules, but I would like to make sure.
It is easy to imagine British or American Naval resources being diverted to the Skagerrak to pull away German forces from the Baltic.
Again, it’s just one of those rules you have to read literally:
[6.1] Each player must place all Directed Offensive issues won on any Front’s entry space
[6.7] During the Military Segment each Front must try to advance
towards the Axis powers. A Directed Offensive marker
can be placed in any entry space to ensure that it receives offensive priority
[7.4] The Arctic Theater has no Front or Front Track
So you’re right. You can’t place Directed Offensives because there’s nothing to advance on, nothing to advance with as a priority, and nothing to advance towards.
You can, however, place naval support markers but the only way to have another player fund these, is by winning their Production Issue and spending it there. That then simulates twisting a country’s arm to help you