Your question is incorrect in 2 points. Finland wasn't elevated in 1809 and it wasn't really a duchy to begin with (in the normal sense as a land ruled by a duke).

So what's the deal then?

Finland wasn't Finland (a separate nation) until well after being joined to the Russian Empire. During the Swedish times Finland was Finland or the "Eastern lands" if you felt a need to very specifically speak only about the parts of Sweden east of the Baltic and north of the Gulf of Finland. Otherwise the geographical area was largely administered as normal "landskap" just as other core parts of the Swedish state. This in comparison to the provinces on the other side of the Baltic who usually retained laws and customs from before they were incorporate into the Swedish empire. 17th reforms did acknowledge the geographical issues of remoteness and a royal court was established in Åbo/Turku and a university founded there. Similar actions were also taken in the Baltic provinces later on.

The geographical area of Finland was occasionally given in fief as a duchy because it was large, sparsely populated and poor. Most notably when Gustav Eriksson (Vasa), first king of a "modern" Swedish state decided his sons needed to have land to learn to rule and share (the first they learned well, the second not so much) he created them royal dukes. The second son Johan was created duke of Finland and eventually ruled a fairly cohesive piece of land that was separated geographically form the rest of the nation. He installed himself with a court in Åbo/Turku in the royal castle the de facto "capital" of the region. He created for himself a vibrant renaissance court, enhanced greatly when he married the Polish princess Katarina Jagellonica. As duke of Finland Johan could fairly independently rule and meddle in foreign affairs, like said marriage, much to the annoyance of his father king Gustav and later his half-brother king Erik XIV. Game of Throne got nothing on these lads and it unsurprisingly (if you know your Vasas) ends up with Johan usurping his brother and years later killing him in captivity (allegedly).

As king, Johan III decides to elevate his duchy into a Grand Duchy in 1581 to compete in pomp and title with other such constructs in Eastern Europe like the Grand Duchy of Lithuania and in competition with the Russian Tsar who from tradition holds several Grand Duchy titles of old Russian principalities. This title is kept as a royal title of Swedish kings until 1721 when Sweden's empire is effectively lost and it loses it's status as great power. At this point there is no duchy of Finland as such nor have there been any dukes since Johan III himself.

Thus when Russia annexes Finland in 1809 it does so using an old traditional title out of convenience, in part as recognition that Finland according to the agreements made will be able to keep it's traditional laws, religion and administration. The tsar can add another fine title to his already long list. And it probably amuses him that he takes a title of a man who tried to compete with the tsars of old.