Heil Pozdech

Well firstly they say that the actual 'place of Finland' is just Eastern Sweden. Helsinki is in Eastern Sweden and when people fly there it's not like they would notice.
World maps are altered as it's a U.N conspiracy to keep people believing in Finland. And the idea that an entire country is made up seems so bizarre that nobody would ever believe it, making it easy to do.
Finland's main company, Nokia, is apparently owned by the Japanese and they're a main player in this.
Now as for 'why' people would want to invent Finland as a country that's a bit more in depth and there's a few reasons as to why Sweden and Russia go along with it but it's mostly to do with Japanese fishing rights.
You see the Japanese love their sushi but tight fishing regulations and public outcry mean they can't fish as much as they want. So after the Cold War they agreed with Russia to create a 'landmass' called Finland where they could fish. After all, if people thought there was a country there nobody would expect the Japanese to be harpooning whales would they?
The fish is then transported through Russia where a small percentage of the food is given to the population, (they were of course starving at the time of Finland being invented), and then is shipped to Japan under the disguise of 'Nokia' products. Japan is apparently one of the worlds largest importers of Nokia products despite the fact that 'nobody there owns a Nokia phone' apparently.
The crux of all this however, and my favorite part, is the homage that the Japanese gave to this entire conspiracy theory.
What do fish have? Fins. Therefore they named their imaginary country Finland.