Estocolmo refers to Stockholm, the capital of Sweden. However, in the context of the song, it's a direct reference to "Stockholm Syndrome" (Síndrome de Estocolmo in Spanish).
This psychological phenomenon describes a hostage developing a psychological alliance with their captor. Romeo Santos uses this intense metaphor to describe his lover being
Romeo Santos builds a whole song out of one bad metaphor and commits to it completely. The woman he wants is not in a relationship, she is being held: "Dile a tu secuestrador que se prepare" [tell your kidnapper to get ready]. The twist is that she likes it in there. "Si padeces síndrome de Estocolmo" [if you are suffering from Stockholm syndrome] is the diagnosis he hands her, and "Aunque tú misma lo ayudes" [even if you are the one helping him] is him admitting she is in on it. That admission is the funniest line here, and he delivers it like a man filing a police report.
From there he casts himself as the rescue team. He climbs the balcony, he takes the door down, and he is willing to go down for it: "Y si caigo en prisión, somos dos delincuentes" [and if I end up in prison, then we are two criminals]. A 911 call in English cuts into the middle of the track, which tips you off that nobody involved is taking this as seriously as the strings are. Prince Royce turns up on the same joke. It is a lot, and bachata is the one place where a man comparing his rival to a hostage taker over a guitar line reads as romance.