I think you can buy VAT free from shops in the UK (Harrods springs to mind – not that I shop there lol). There is some stuff on their page here. But if you are shipping out to Finland via an online order I guess they would look up the EU status and that would decide it.
For what it’s worth any advice you get on an internet forum should be taken as a rough guide, try and check with official sources to get a real answer. I’m sure you knew that anyway!
And if you have to pay VAT, be glad that you are contributing to the Great British economy ;)!