Except that's not how it works. They will take everything including those USA companies' data and then they will go to a judge to ask for a warrant to make interception after the fact legal. It's US citizens that are exempt and their data is only looked at in exceptional cases but on the whole you should not assume the data is not recorded. The legal fiction used to protect this abuse of your rights is that they claim that as long as nobody looks at it your data wasn't really collected.
So feel free to build a company in Sweden, but the US is actually legally permitted to wiretap the crap out of it.