That's because Swedish is not a Romance language. As Docta explained, "the Romance languages would naturally utilize the phonological changes on the proper Latin names just as they were applied to the rest of the lexicon". The Cornelian cognomen Sulla poses some particular problems, explained by a couple of historical-linguistic oddities.
Even if all contemporary Latin authors wrote Sulla , the main primary sources on the famous Happy Dictator, Appianus and Plutarchus, wrote both in Greek. Then, the first Latin vowel "u" was transliterated by the Hellenic upsilon ("Y"). There you get the Sylla used by some late Latin authors, like Orosius and Jordanes.
Now, when you re-transliterate "Y" back to Latin, you have two main alternatives; "i" and "u".
Spanish and related languages have the additional phonological circumstance that their double consonant "ll" is quite different from the original Latin usage. Actually, original latin "ll" sounds closer to their simple consonant "l".
Those are the reasons why, depending on the language, you may find "Sulla", "Sylla", "Silla", "Sula" or even "Sila".
Thanks for bringing light to the subject!