In ‘Country’, if you want English, you could type United Kingdom or United States? It’s not asking you for your language but for your country of residence. (This might change the local music services you can access though.)

If you want Finnish, you might need to type Finland (or Suomi). 

Which app are you using? Desktop apps have their own option for Language, independent of the host device settings, and it includes Finnish.

I don’t believe the Sonos account settings affect the app locale on any platform - its either explicit (Desktop) or based on the device locale (mobile).