There’s definitely nothing in the original books to suggest that their fantasy world has anything to do with real countries. Their customs have a definite Scandinavian flavour, but only in the same way that the Shire is English and space aliens tend to speak like Americans. So, as literature, they're definitely Finnish, but not in a geographical sense. I suspect the English title has more to do with Swiss Family Robinson than anything else, as odd a bit of intertextuality as I've ever seen; its suggestion of their nationality isn't any more meaningful than its suggestion that Trollkarlens hatt is the first book. (And this is minor compared to the liberties taken by, for example, translations of Pippi Longstocking from the same era.)