This question is a bit confusing by the order the OP shows the itinerary.
I assume the following:
- The OP buys goods in Sweden and obtains a receipt. The customer pays full price
- The OP crosses the Oresund bridge to Denmark, no border control, no customs. The OP is with their receipt
- The OP flies to Helsinki, still no border control
- The OP exits the Schengen area to their final destination in Helsinki, hence passport control
I think Global Blue themselves show the answer (emphasis mine)
I purchased goods in an EU member state, and I am having a transit / connecting flight to my home country from another EU member state. How do I obtain Customs stamp?
For goods in your hold baggage get Customs stamp at the airport, where you initially check in for your flight.
For goods in your hand baggage receive Customs stamp at your final point of departure from the EU.
- OP either uses hand baggage or goods are not checked through Helsinki: get the customs stamp at Helsinki
- OP puts the goods in a checked bag at CPH, through Helsinki: get customs stamp at Copenhagen
Oresund bridge is irrelevant