Correct!

Many people think that "Scandinavia" refers to the entire region that juts off from Northern Europe. This region is actually called "Fennoscandia." Fennoscandia consists of Sweden, Norway, Finland, the Murmansk Oblast, much of the Republic of Karelia, and parts of Leningrad Oblast.

Scandinavia is actually a cultural and historical region consisting of Sweden, Norway, and Denmark. It is characterized by a common North Germanic heritage and mutually intelligible languages. (Note that Denmark is not part of Fennoscandia.)

The Nordic countries are a geographic and cultural region consisting of Sweden, Norway, Denmark, Iceland, Finland, and their associated territories (Greenland, the Faroe Islands, and the Åland Islands). The Nordic countries are characterized by similarities in history, way of life, language, or social structure.

(Thanks Wikipedia!)

No, and yes (I don't know what is approved here either).

"Finns i" is more similar to "exists in" so not technically wrong but not really right either.

As it (Denmark) is situated in something (Scandinavia), I'd use "ligger i" instead of "finns i".