Thanks for posting the link, Aaron. Lucia was considered a patron saint of Sweden, who supposedly brought food during a famine when the people were starving. Even though Sweden became a Lutheran country in the sixteenth century and saints were no longer considered intercessors, St. Lucia retained her special day. I'm not surprised that there was also a merging with pagan tradition, as that was common among the early Christian missionaries. I'd not heard about the devil connection before.
I read once that a lot of the butter rich, white flour pastries with almond fillings, citrus, and spices for which Sweden and the Scandinavian countries are known are actually nineteenth-century imports from European countries. That makes sense, since the growing period for grain favors heartier ones. I was very tempted to buy a recent book on Scandinavian baking that was said to explore the older tradition.
I've never used saffron (expensive).
One final note: the oil-based Lucia Buns I baked this year have grown on me, and they stay softer than the butter ones did.