Diplomatically aiding Finland would have been the same as shooting oneself in the foot.
If the Allies needed Sweden, Petsamo
was not good enough a port. If the Allies needed access to Sweden, as it seems they did, there should be an event that has Sweden allow military access. If Sweden refuses, another event fires that lets the intervention happen (Finland joins the allies). The AI Chances for both event should be between 0 and 5 % (for Sweden and Britain [Allies] respectively).
But seriously, there is a difference between "it has been argued that" and "therefore". It has also been argued that Stalin only wanted Karelia; it has been argued that the Soviets stopped gifhting because of poor weather conditions (spring thaw = mud) - as reasons for stopping with Karelia. If the former is a propganda-inspired rationalization for being unwilling to fight on, it is quite possible that the Allies used Sweden's refusal (which the Swedes were more than likely to give) as a rationalization for not intervening. I would even argue that Sweden's permission was asked in the first place so that there could be a quick refusal to end the matter.
Think about it: were the allies going to fight the USSR, while fighting Germany. I can imgaine an invasion of the USSR by the Allies, supplies coming from Petsamo, supplying there dangerously small armies while they pushed for Moscow, past Leningrad, makes the German logistical nightmare look like a wet-dream: supplying troops via sea (soon-to-be U-Boat infested) and then trecking through Finland (full of lakes and swamps), in the Spring, with mud, and trees... mooses--who knows? And then? The best that the Allies can hope for is a stalemate and then being pushed back (135,000 soldiers is what? -between 10 and 13 divisions, against the entire Red Army, soon to be transported to Leningrad). And then the Red Army would attack with its full force, in the late Spring and Summer (let's remember that in the Finnish Theatre a tiny percentage of Spvoet troops was involved, what if a much larger part appeared?) when the road conditions got better. And Petsamo would be lost around August '40. All the while, the Germans would be planning on invading Western Europe. With Allied soldiers bogged down in the forests of Finland, who would defend the mother countries?
There, already, weren't enough French Soldiers to effectively defend France. Where would the British get there troops? Pull them out of North Africa or India? Might that give Italy or Japan (respectively) the figurative balls to invade those areas? Maybe... And what if troops were sent from the Home Isles and Hitler found out that the Home Isles were undefended? He might invade... !
And what if this war pushed the Axis and Soviets closer together, in an anti-liberal-democracy crusade? The Anti-agression pact was signed... and the chance of the Allies and Axis (already at war) mending fences to invade the USSR was 0 (Britain had just gathered the courage to DOW Germany over Poland and now they would forget about that and go after the USSR?). What if Germany and the USSR, not at war yet, cooperated to take down the West?
I would posit that it was considerations like these that kept the Allies out of Finland, even more than the lack of access through Sweden.
But, since the impossibility of an event never stopped it from appearing in HOI, I have nothing against this event appearing in the game... as though anyone needs my permission

.