There is no coherent principle that that cleanly includes Denmark, Norway, and Sweden while excluding Finland. Not geography, language, religion, culture or history.

Finland is not on the Scandinavian Peninsula, but it is physically contiguous with Sweden and Norway and deeply integrated into the same northern European ecological, economic, and transport space. If peninsulas are the criterion, then Denmark is already a special pleading exception.

Finland is officially bilingual, Swedish is a national language, and Swedish is historically entrenched in Finnish administration, law, and elites. Meanwhile Finnish is spoken by a large minority in Sweden. So language does not draw a clean boundary.

Lutheranism dominates across Finland, Sweden, Norway, Denmark, and Iceland.

Finnish culture is distinct in some ways, but so is Icelandic relative to Denmark, and Norwegian relative to Swedish. Distinctiveness exists inside the supposed core as much as between core and periphery.

Finland was part of the Swedish realm for centuries, was governed through the same institutions, and emerged into modernity shaped by the same legal and administrative traditions.