Livonians, a Finnic tribe who lived along the coasts of present Latvia (Gulf of Riga = Gulf of Livonia), called Germany "Saksāmõ", and the language "saksā kēļ". The last fluent native speaker of Livonian, Grizelda Kristiņa, died in June 2013 at the age of 103 years. (In Livonian, long vowels are indicated with a dash above the letter, according to the Latvian pattern).
I highly doubt that only the Finns have met the Saxons first.
On a side note: The people who are usually called Saxons today in Germany have nothing to do with these Saxons.
The original Saxons are people from the north west (who spoke Low Saxon or Proto West Germanic dialects before that). I'd expect that every Nordic country has met Saxons at first and in Celtic languages (and maybe also Scots?), Saxon can also stand for English (language or people).