1. Yes, if you are allowed to enter Croatia you are allowed to enter via Helsinki
2. Yes, but they may say no, especially before check-in.
3. It is a bit weird that there is no availability on an EU route, so make sure AY is actually flying on the days you are looking at. Finnair seems to only have direct flights to Zagreb and Split until October. After that flights are expensive and require stops and non-oneworld connections. BA might be a better bet.
https://www.finnair.com/es-en/timeta...ZAG&origin=HEL