Of course Finnish history is complex, when you consider how it was initially Swedish-owned, then became an autonomous (remarkably so) part of the Russian empire between 1809-1917. The brief outline here is presents a good summary:
https://finland.fi/life-society/main-outlines-of-finnish-his...
For more details I enjoyed reading "A Concise history of Finland" :
https://www.amazon.com/Concise-History-Finland-Cambridge-His...
(I moved to Finland a couple of years ago, and have spent a fair bit of time learning of local-history.)
It should be noted, though, that if Finland had stayed as a part of Sweden, it might not exist as a country today; Sweden has had a policy of forced assimilation which is shown in how the traditionally Finnish (and Sami) culture in contemporary northern Sweden has been largely replaced.
Tsar Alexander I ended war against Sweden (1808-1809) with a pact with the local nobility, if we may call it so, where Finland would be "lifted to be a nation among nations", and as a result, Finland indeed did become an autonomous nation.
This is why the "faithful Tsars" have statues in Finland. Finland did not see itself as a part of Russia, but as a separate nation which just has Russian emperor as the ruler (Grand Duke). Swedish legislation was preserved (some laws in law book still date from 1734).
Weaker, pan-Slavic Tsars (Alexander III and Nicholas II) then tried to reverse this development, and suppress Finnish nationalism, and as a result of this, Nicholas II was called "the oathbreaker", and due to this and many other similar bad policies elsewhere in his empire he lost his crown and his life.
Still, I expect Finland would have been only too happy to sit out the war as a neutral, like Sweden did. But the Soviets didn't give them that option.