That's because you can't have the definite article before that: it's either The capital of Finland or Finland's capital.
It's the same in Swedish – an owner in the s-genitive is enough to make something definite, so you can't have the 'owned' thing definite too. So it's pojkens bok and the boy's book, not "pojkens boken" and "the boy's the book".
There are all kinds of other refreshingly straightforwards compounds in Swedish. Some of my favorites so far are raketstol (literally 'rocket chair', used to refer to the chemically propelled ejection seats used in military fighter jets) and sköldpadda (which literally means 'shield toad', which actually kind of makes sense given that turtles aren't native to Scandinavia in general, let alone Sweden).