According to relatives in Sweden, Josefina Classon (1865-1937) was an illegitimate daughter of August, Duke of Dalarna (1831-1873). The circumstantial evidence is strong, but the story is more myth than fact, I think.
The Bernadottes derive from a family of old lineage in Béarn, France, whose earliest known ancestor owned an estate in Pau known as Bernadotte in the 17th century.
Jean-Baptiste Jules Bernadotte (1763-1844) was the son of an attorney. Bernadotte joined the army, but not being noble remained an enlisted man until the Revolution. Thereafter, he rose quickly. Alan Palmer in his biography of Bernadotte suggested that the fictional hero D’Artagnan, one of the Three Musketeers, was inspired by the real life exploits of Jean-Baptiste Bernadotte. Alexandre Dumas’ father, General Thomas-Alexandre Davy de la Palletière Dumas (an expert swordsman in his own right), knew Bernadotte and fought beside him on the Rhine Front in 1797.
In 1798 Bernadotte married Desirée Clary, who had once been engaged to marry Napoléon. In 1804 he became a Marshall of France. In 1806 Napoléon made him Prince of Ponte Corvo, with 200,000 francs in cash as an endowment and an annual income of 300,000 francs. Ponte Corvo was a tiny enclave within the Kingdom of Two Sicilies, between Naples and Gaeta, but nevertheless a sovereign state.
Sweden had long been a client state of France. In 1810 Bernadotte was elected Crown Prince of Sweden and adopted by the reigning king. He converted to Lutheranism and assumed the name Carl Johan. The Swedes were mistaken in their belief that his election would please Napoléon, but he proved to be an able statesman and general.
Because of the King’s disability, Bernadotte became Prince Regent in 1811. As Regent, he changed Sweden’s foreign policy from favoring war with Russia and a re-conquest of Finland to favoring the conquest of Norway from Denmark. To achieve this end, he joined England and Russia against Napoléon and conquered Norway in 1814. He became King of Sweden and Norway in 1818 as Carl XIV Johan.
Bernadotte’s son Oscar I married Josephine von Leuchtenberg, a granddaughter of the Empress Joséphine. The present King of Sweden, Carl XVI Gustaf, is a descendant of Jean Bernadotte, Desirée Clary, and the Empress Joséphine through Oscar I. His is the only Napoléonic dynasty still reigning in Europe.