As you may know, being a dual citizen of Finland and another country has a few wrinkles, which may explain some of the scrutiny. Finland has allowed dual citizenship only since early in this century, and dual citizens are subject to losing Finnish citizenship if they don't maintain sufficient contact. Also, Finland has mandatory military service (or alternative civilian service) for male citizens.
Sorry, I don't know exactly how all this works or what your situation is with regard to wanting to renounce Finnish citizenship, which holding US citizenship does not require you to do. I'm just saying that the convoluted rules, not ill will or incompetence, might explain some of the problems at passport control.
Last edited by Giggleswick; Sep 5, 2015 at 7:06 pm
Reason: added paragraph break