Where does “ヘルシンキ” come from?

ヘルシンキ (Japanese) comes from Finnish Helsinki, from Swedish Helsingfors — Helsinki.

Ancestry of “ヘルシンキ”, step by step

Step	Language	Word	Meaning
1	Finnish	Helsinki	—
2	Swedish	Helsingfors	Helsinki

ヘルシンキ — Etymology, Origin & Word History | Etymology Explorer