I may be wrong, but at least every Finnish dictionary, ABC-book or classroom poster that I have laid my eyes upon has included the letter Å in the Finnish alphabet:
...
X,
Y,
Z,
Å,
Ä,
Ö
It is a fact that the letter Å is not used in any natively Finnish words, but neither are X, Z or C, all of which can be found in the Finnish alphabet as well.