Actually, it is. The term is "NATO Enhanced Opportunities Partner". Which is in a way, NATO's ally.
Here:
U.S. Relations With Finland
The Finns have stopped buying Russian weapons, which they did during the Cold War as a compromise to show neutrality between the two countries. Since 2013, Finland is involved in almost all war-games by the NATO allies in the northern hemisphere.
When you have a direct border with Russia and you are that close NATO, then consider that you are a shadow-agent of NATO. Otherwise, there is nothing that stops Russians from taking over Finland as well like they are planning with Ukraine (Though Ukraine is more of a personal-cultural thing for the Russians).
The reason why Finland is going for F-35 is because it is a NATO partner. Period.