Well it started with the Dannebrog of Denmark. During the middle ages the main symbols of Denmark, Norway and Sweden were their coats-of-arms, but Denmark was first with a definite flag. Flag use only caught on strongly around the Scandinavian renaissance (~1500). It is around that time that Sweden adopts the cross design of the Danish flag, with the Swedish colors of blue and yellow (which had been in use on the coats of arms previously).

Norway remained in a Danish-dominated union with Denmark from then until the 19th century, so the Norwegians did not create their own flag until after that, by which time the Nordic Cross was well established as a Scandinavian symbol of sorts.

Finland followed suit after their independence in 1917, and choosing the 'Nordic cross' design was a way of emphasizing shared history with their fellow Nordic countries (and also distancing themselves from Russia).

So there's a reason, but it's not like everyone came together and decided to have this particular flag pattern. I think you can say it started as a result of the many cultural and historic ties that exist between the Nordic countries, eventually becoming a symbol of it as well.

hi! you might consider x-posting to the flag specialists in /r/vexillology ; meanwhile here's a recent discussion from this sub

Why do the Scandinavian countries all have the same flag (with different colors)