Erich von Rosen, a Swedish count, donated first plane to Finland in 1918 which also meant the birth of Finnish Air Forces. Von Rosen's personal symbol of good luck was a blue swastika, which he also had painted to the wings of the plane. As an honor and thanks to von Rosen for donating the very first plane to newly-born country, Mannerheim ordered to keep the von Rosen's lucky symbol as a symbol of Finnish Air Forces.

Same time Hitler was fighting for German Empire in trenches of the first world war.

While the history of this has been covered below (or above, I suppose, depending on how you view reddit), it's worth noting a few things.

First of all, the Swastika is not a specifically Nazi related symbol. For much of the 20th century, it was a popular good luck symbol, and only has really fallen out of favor due to its association to the Nazi movement.

The Finnish Airforce still uses the swastika in their flag/the flags of different divisions within it's airforce. It is also present on many air force medals that the Finnish airforce presents to pilots. It has no tie to national socialism though for them, obviously.