@klykke89 Welcome to the forum
This move would be illegal. Russia starts the war as a neutral power. So the respective restricitions apply. See Rulebook Pacific 1940.2, page 15. In the “Powers not at War with One Another”-section you will find:
Neutral Powers: When a power is not at war with
anyone, it is neutral. Powers that begin the game
neutral, such as the United States and the Soviet
Union, aren’t initially part of the Allies or the Axis.
The Axis powers are on the opposite side of these
neutral powers, but they are not yet considered
enemies. While a power remains neutral, it operates
under even tighter restrictions. A neutral power
can’t move land or air units into or through neutral
territories. It can’t move units into or through
territories or onto ships belonging to another power
or use another power’s naval bases, nor can another
power move land or air units into or through its
territories or onto its ships or use its naval bases.
So Russia can’t invade Finland while being neutral. Russia needs to be at war (with a European Axis power) before, thus leaving its neutral status by joining the Allies.