It has nothing to do with oppression. Geographical places that has had a historical significance to Sweden has Swedish names. Förenta Staterna, Köpenhamn, Nizza (said my parents of Nice), Sankt Petersburg, Rhen, Rom... Just like Göteborg is called Gothenburg in Britain but Varberg is still Varberg.
To add a bit, Finland is still officially bilingual and many places have an officially recognized Swedish name which is used by all Swedish speakers, not only Swedes. Bilinguality goes back centuries when Finland was a part of Sweden and it's so deep in the society that in bilingual areas even road names are translated.
The names are sometimes a bit funny, for example a region in the city of Espoo is called Köklax which of course doesn't have anything to do with kitchens and salmons =) Instead, I recently learned it was just evolved from the place's Finnish name Kauklahti (or Kauklaks back then) so that it sounds somewhat similar.
I'm no toponymy pro, but I did study it a bit for a thesis a couple of years ago where toponymy was part of my reasoning for locating a medieval croft that disappeared entirely from written sources in the late 14th century.
The Hels- part, as with the county of Hälsingland on the southwestern shores of the Gulf of Bothnia, as well as with Helsingborg and Helsingør, probably comes from "hals" ("neck, throat") referring to an oblong and relatively narrow body of water of some sort. This would then, in the Helsinki case, then most likely refer to the Gulf of Finland.
The -ing part is a common ending believed, if I'm not mistaken, to refer to the inhabitants of an area (en hälsing/helsing) and thus by extension used to denote a general area where these people live, so Hälsingland is the land where hälsingar live for example. This could well have happened to Helsinki too, and to this -fors was added.