Following the annexation of the Baltic States by the Soviets, Day relocated to Sweden to continue reporting as the "Tribune"'s Stockholm correspondent. In 1941, Day accompanied Finnish troops as they advanced into Soviet territory and in September 1942 he quit his post to join the Finnish Army. The Tribune demanded he return immediately, and Day decided to stay and try to fight with the Finns. The Finns ultimately rejected his enlistment on account of pressure from the U.S. government. His passport had expired and had not been renewed, so Day then found himself both unemployed and unable to travel freely.