Finland was never a part of the Roman empire.
It is not even sure Roman authors knew of its existence.
But some references may refer to Finland.
Lonely Planet: Finland
This list is far from complete.
There is not always an 1:1 relation between a place etc. in Roman times and a name in our days.
Sometimes a people giving their name to a place and that place are combined.
Some names are followed by a link to a site with that title
I tried to find suitable sites in English, but did not always succeed.
If you know better sites, please let me know.