In a TV News segment within Die Hard, the author of "Hostage Terrorist: Terrorist Hostage" describes the hostages as undergoing the early stages of "Helsinki Syndrome". Why bother using a fake version of Stockholm Syndrome? It's not like the name of a condition is trademarked or a brand name. And setting up the joke about the wrong country also works exactly as well. You just pick a different country to be wrong about.
Taken directly from the Wiki:
Helsinki syndrome is a term sometimes used incorrectly instead of Stockholm syndrome. The confusion is often deliberate and used for ironic effect. It originates in the substitution of one Nordic capital (Stockholm, Sweden) for another (Helsinki, Finland). It entered popular culture when used in the Bruce Willis film Die Hard, by a doctor appearing on a television show and describing the phenomenon. The bumbling host says this refers to "Helsinki, Sweden", and the doctor corrects him, saying "Finland".
They're both Nordic countries, so interchanging their capitols is most likely meant to be a poke at Americans' lack of knowledge about global geography.