I’ve seen northern lights in Finland (I think it was in the summer… not completely sure though). But yes, you can definitely see them in Finland. Also, you need to be outside of big cities because the city lights reflect too much – you might miss the show ;)

Come to Canada! You can see them here… and they really are incredible!

take the boat from copenhagen to oslo (the boat’s right by the new opera, you know), catch a train (it’s a ten minute walk from the boat to the station) from oslo to røros (tiny, beautiful town) or something like that (lillehammer should work, if you like it a bit bigger). in the winter.
and keep your fingers crossed for northern lights.