Southern Finland. I've found these and some more bluish ones. They are fairly small (the flower itself is about 4-6cm) and have these long, pretty thick leaves. It isn't visible in the photos, but the petals have this glittery look on them.
Here's one of the blue ones, in a vase:
I've mostly seen them near yards or gardens, so I think they aren't native.
As the other commenters have pointed out, it's one of the plants in the Scilla genus (Kevättähti in Finnish).
Apparently the most common one we have escaping gardens in Southern Finland is Lucile's Glory-of-the-snow, Scilla luciliae (Isokevättähti in Finnish). Other possible options could be Scilla forbesii (Kirjokevättähti), Scilla sardensis (Sinikevättähti) or Scilla bifoliae (Pikkukevättähti).
The plant is native to Eastern Mediterranian and blooms as snow melts in high altitudes. Apparently, it doesn't really escape very far or spread quickly, and as such is not considered a great threat to native plants.