Of all European capitals, Helsinki is probably the most fitting way station for President Reagan before his Moscow summit next week.

Geographically and historically, neutral Finland sees itself as the no-man's land between East and West.It also has great saunas, as the president may have heard from George Shultz. The secretary of state has made four rest stops in Helsinki in less than three years on his way to Moscow, and reportedly has become an enthusiast of the traditional Finnish sweat bath.

Reagan arrived in Helsinki early Thursday and was to spend three nights there recovering from jet lag and preparing for his May 29-June 2 summit with Soviet leader Mikhail S. Gorbachev.

In his only scheduled activities outside his regular Saturday radio address, Reagan was to Friday with President Mauno Koivisto and then address Finnish leaders on human rights.

He was to speak in Finlandia Hall, where 35 heads of state signed the 1975 Helsinki Accords on military security, economic cooperation and humanitarian issues.

American Jewish leaders have announced they will hold a vigil in Helsinki during Reagan's stay to draw attention to the demands by Soviet Jews for freedom to emigrate.

Though Reagan probably won't see much of the city, Helsinki's Russian flavor offers him a taste of things to come. With its modern streetcars, broad avenues and 19th century buildings, the city has been used as a set for "Gorky Park" and other movies about the Soviet Union.

Most of Helsinki was devastated by fire in 1808, the same year Sweden ended its 600-year rule of Finland and ceded the territory to Russia. It was a Russian duchy until 1917.

Finland's life in the Soviet Union's shadow has been the theme of its politics for centuries. It shares a 793-mile border with the Soviet Union, the longest of any non-communist state.

The Finns like to say they were "defeated but not conquered" by the Soviets in World War II, since they retained an independent government and parliament. But they were forced to cede territory, pay reparations and sign a Treaty of Cooperation and Friendship.

Holkeri, who took office in April 1987, is the first prime minister from the Conservative Party since the war.

Finns defend their policy by saying they are nobody's lackey.

"Having for long felt themselves to be menaced by the East and let down by the West, the Finnish people today feel they are getting the best of both worlds," writes Max Jakobson, a former Finnish ambassador to the United Nations.