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You try to credit a Star Alliance flight to a Star Alliance bonus program. What counts here is the airline that operates the flight, which is SAS in your case.
Who issued the ticket does not really matter. You should be able to claim miles if you did not fly in any of the fare classes I, R, X, N, or F (according to the current version of https://en.aegeanair.com/milesandbonus/how-to-earn/all-airlines/) - the others should work.
To claim miles, visit the site https://en.aegeanair.com/milesandbonus/my-account/claim-missing-miles/ and fill out the form. Leave out the booking reference if you want. If your SK flight was booked under a Lufthansa flight number (as a co-share flight), you should exclude the booking class as well as it is non-obvious to which SAS booking class you LH booking class for the flight would map to. Fortunately, you do not have to provide it.