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Also, it's probably a good idea to prepare for that war with trench infantry, frag cannons, possibly some opium for first aid too, it might get messy.
Oh, and a great general with stacked attack and/or defensive bonuses makes a huge difference too.
I think that you need Denmark (at least most of it, i.e. mainland, not Greenland or Iceland, or any other colonies), with Finland Optional, plus Norway and Sweden to form Scandanavia. (see below, particularly the "need 11 states")
You add Finland whenever/IF you get it.
here is a part of discussion (or chat/informal conversation) I had with @Thineboot about how he formed Scandanavia (zea means Zealand, jut means Jutland, 36 means 1836, 41 means 1841) (I asked him how he formed Scandanavia)
zea in 36, jut in 41 + schleswig-holstein
you'll need 11 states
was 1 short, had to fight DEN again in togo to get iceland
missed lübeck, I've managed it in a prior try to grab it before pussia
this time prussia has 1/3 of the country
schleswig will become SCA but not holstein
missed that when I only transferred overlord from DEN in 41
schleswig transfer is fine, it will become part of SCA
integrating is down to 2 years instead of 5
SCA vs SWE
letting DEN live makes them also colonize west indies
added:
Thineboot just told me that you need 11 out 15 States without the 4 Finish States in order to form Scandanavia.
If you are hellbent on taking Finland, you have to wait until much later and hope for the right balance of power to sway things in your favour.
5 Sweden
3 Norway
2 Denmark
1 Iceland (DEN)
1 Schleswig-Holstein (Schleswig, Holstein, Lübeck)
3 Finland (RUS)
Unless you own Schleswig-Holstein, only Schleswig will become part of Scandinavia. Split states don't count.
Finland may try to become independent at some point but without a stronger helping hand they are doomed like any wanna be free state.
If you can go for Schleswig-Holstein before Prussia takes care of Lübeck.
Day 1 war against Denmark gives you the advantage of your bigger forces. Others may or may not interfere. If so check possible sway actions.
Make big friends and get rid of your infamy.
Keep an eye on your population. You need hands to dig ;)
To form Scandinavia you'll need more time than just a few quick wars - check your journal and society tech. But securing your position on European mainland asap makes your campaign much easier.
Let Denmark live apart from Denmark, and they will colonize for you, while you still have no idea what colonists even are - you can't do everything at once. When the time of unification comes, you will reap what they have sown.
In short:
Unifying Scandinavia is no normal war were you capture individual states.
Finland is in a Personal Union with Russia and therefore not target of the unification of the lesser Scandinavian countries by Sweden. And since it's a unification, they will become part of the new nation.
Note that you have to have researched Pan-nationalism to be able to form new nations.
Still only scratching the surface of Vic 3...
and by the way finland is in a union with russia which looks like a big problem.
So now i have changed my interests toward europe and pheraps some colonization, but i will still keep influencing finland to see whether more diplomatic options become available by increasing the value of the relationship with them. Ideally i would like to form strong allies and then to see if it exists a diplomatic move to make finland change union partner. It is a fact i don't know yet all the stuff that happens when you increase your relationship value with a nation that is already in a union with another one.
I want to explore the features of the game and see if more diplomatic options become available by courting finland and see if it is possible to make them peacefully switch partner.
All in all the main goal is to better master the game for future playthrough with bigger and more complicated nations