Russian Swede is a slur used to describe Finnish in a derogatory way. A joke that the Finnish don't have an identity of their own.
The word Russian Swede is a racial slur that has been used historically to degrade and dehumanize finnish. The word is still used by some people for this purpose, and it is seen as offensive and hurtful to finnish. If you are unsure about whether or not it is appropriate to use the word Russian Swede, it is best to err on the side of caution and avoid using it in any situation.