I never played 5 cities country but i think this will be matter of:
1. Luck that, if you play Finland, Sweden, Russia and Norway were noobs or at least, your allies.

2. Produce the necessary units. Tanks sucks in Finland, and they are costly, for example. Finland is a island-like country because almost all it's cities are coastal, so, it is mandatory to control sea.

But the expansion zones are: Russia, Poland, Sweden and Norway. And these countries are mainly mountains, so, i expect to better build choppers and fighters ASAP. Choppers to kill infantry, fighters to protect them. All these units fly and in a mountainous country could be a game changer if any of your neighbor are using armored units

Ships? Destroyer. Is quite cheaper, hard to kill and it is a shorter research tree, while Frigates requires first corvettes. I would pass corvettes in favor of Destroyers

Of course, stick to only a infantry class. Moto inf would be better, but NG are cheaper. Personally i never build NG, i like more moto inf, but well... 5 cities...

You and your friend can use the advice that @xovault and I already wrote for playing to win quickly in typical public games.

Some of Xov's posts emphasize what he typically does with Germany, but I and he both included using other starting countries too:

Island nations the worst countries to play?

Island nations the worst countries to play?

Island nations the worst countries to play?

How do you guys prepare to invade another country?

Honestly? Not any different than countries with more cities. Regardless of how many cities you start with, making the best off the starting resources is important

I never played as Finland, but being small country has positives.

For example missile defense - 2 or 3 TDS in Tampere will pretty much take care of it. Other 2-3 for Oulu and its done deal.
As currently Australia I needed 14 TDS to keep my cities from missiles.

Not to mention you need like 3 corvettes and your coast is secure against naval infantry rushes.

For strategy - I would suggest giving a try to hitting first with heavy stack. Worked for me in case of New Zealand.