Well, ehm, those countries in the past were one and the same during ayuthaya and khmer, thus having the language shared, though conquered lands probably had their own. Whereas the finnish language group is Ugric, whereas the norse are northern germanic languages.
The languages i wrote about are mon khmer, thus sharing same roots. wich is not the case with finland and the rest of the north. I personally think because of strong patriotism and old ties of hatred towards each other the austroasiatic languages there have not had much contact.