"Anna and Leo want to visit Finland."
Translation:Anna ja Leo haluavat käydä Suomessa.
Käydä, when it's about visiting a place, uses the inessive case: "käydä jossakin". Käydä Suomessa; talossa (a house); vessassa (a toilet); metsässä (a forest)... even "käydä kaupassa" which literally means "to visit a shop" but we usually mean "to go grocery shopping" by that.
("Jossakin" is the inessive case of "jokin" = something -> somewhere. Käydä jossakin = to visit somewhere.)
The web version of the course has Tips & Notes for explaining things like these. Unfortunately Duolingo does not give courses made by volunteers the chance to add those to the app version. (Feel free to pester them about that. We'd love to have that opportunity. :P ) Not all the skills have Tips yet, not even in the web version, but this particular skill does. There is also a fan page held by a volunteer called duome. You can find all the Tips that have been added so far on one page there, if you do not want to use the web version of the course. :)
It's just how the language works. We always have the idea of being in that place when we say "visit" in Finnish. I will visit Finland. – Käyn Suomessa. I'll visit Anna. – Käyn Annan luona. ("Luona" is in the same case as "kotona – at home" so literally it is "at Anna's place.") Käydä has also other meanings than "to visit."