Big Fact: Before committing suicide, Alice was raped by one of the doctors at the asylum she was in. Which is why there's a black stain on Alice's apron-dress. Which is also why Alice is scared of sex, love, relationship, and possibly physical contact with other people. She is also scared of tentacles for they reminded her of the hands of her rapist.
Another fact: Reason why Alice doesn't wanna be hugged by anyone, even Sweden, is because she is usually hugged by her family members in her human life before becoming a capital personification. When she was in the war battlefield, she saw her two remaining brothers shot dead. When one of them was still breathing his last breathe; He hugged Alice and said "I love you always, as my little sister.. ". That, broke Alice. Which is why when Sweden hugs her, she get kinda scared and is filled with grief.
Because Sweden reminds her so much of her brother's, she starts to cry. Blaming herself because she didn't protect the last two like she promised.