The majority of Finns don't live in vast, sparsely populated rural areas.
*sigh* they can be URBAN too... as long as it is sparsely populated. Look. There are 5 million people in all of finland. There are that many people in Phoenix Arizona. Helsinki, the most populated city has half a million folks, a lot no doubt, but Tucson... dinky, little hell-hole, Tucson, where bars close at fucking 2 in the morning and everything else dies after 6pm, Tucson, has a million people.
So quite honestly, they are rather small cities, however much urbanization has occurred. Many more factors go into it of course, but that is one of the main ones.
Essentially, according to Durkheim, people in cities kill themselves if there is too much social integration (overwhelmed), and in rural areas if there isn't enough (isolation). So the key to not killing yourself is having healthy social ties however much or little that translates to for you.
Durkheim's "Suicide" is a good read for that. It also goes through suicide rates by religion having Jews, Catholics and Protestants from least to most as far as suicide rates go. He found it was the social cohesion that prevented them from going that route. Protestants put a lot of stock on the individual which is why they commit more suicides, they feel on their own.
The countries mentioned seem to have the most happy people because of economic and social safety nets implemented by the government. Whether they have the religious safety net on top of that its hard to say.