There is no country between Norway and Finland.
Stockholm
Stockholm is the capital city of Sweden, the country located between Norway and Finland.
Sweden, and its capital is Stockholm.
That's Sweden, capital Stockholm.
Norway and Finland share a border, so your question makes little sense. However, there is a country which borders both of those two, Sweden, and its capital is Stockholm.
Helsinki is located in Finland, Europe.
Helsinki, the capital and largest city of Finland, is located in southern Finland on the shore of the Gulf of Finland. The Gulf of Finland is the easternmost arm of the Baltic Sea.
Helsinki, the capital and largest city of Finland, is located in southern Finland on the shore of the Gulf of Finland. The Gulf of Finland is the easternmost arm of the Baltic Sea.
Finland is located between Sweden and Russia.
Sweden
Sweden.