You casually dropping the word "dictionary" suggests that you did not apply Finnish to your text. Please check.
Set your text to Finnish by setting the language (preferably) in your paragraph and character styles (in the Advanced Character Formats) panel. Or if you're not using styles, in the Control or Character panel.
Finnish language is also applied to the text, funny thing is if I change it to France it hyphenates the word correctly.
Word "pallogrilli" is hyphenated "pallog-rilli", in finnish it is hyphenated "pal-lo-gril-li".
Any help how I can correct this?
You have an example, excellent!
Checking on my CC, I can see ID is ... well, a bit less than 100% sure on how to hyphenate the word: "pal~~lo~~g~~ril~~li". You can see that because of the single 'g'; not one of the languages I am familiar with can have a division hyphen on either side of a single consonant. Another tell-tale sign is that all suggested breaks are indicated with double tildes – there are no 'good' nor exceptionally 'bad' breaking points.
This happens because its word breaking algorithms do not contain an exhaustive list of all possible hyphenation points in all possible words in each supported language. Instead, a large part gets calculated on the fly, based on a handful of rules that are unique to each language.
If ID gets it wrong, you can easily add such a word to your local settings. Select your word, then select "Edit > Spelling > User Dictionary ..." A dialog pops up, and the button "Hyphenate" will show how ID currently breaks the word. (That's how I checked.) You can change the breaking points by deleting the tildes (aka. "swirls", ~) at the wrong position and adding them to the right ones. A single tilde says it's a favorable breaking point, more means less good (but not wrong). Press "Add" to store the word to your exception dictionary, then press "Done" button to dismiss the dialog. You will see your text reflow in the background as soon as you press the "Add" button!
As others have said, in the Character / Control / Styles panels, select Finnish. Use Styles!
For one word with bad hyphenation, try this:
Go to your user dictionary
I pasted your word with hyphens and clicked the Hyphenate button, then Add. You will put it into your Finnish dictionary, of course, not the English as I have.
InDesign added the Tildes. PageMaker used these as well. You could put in 1, 2, or 3 to put weight on where you preferred the hyphenation. I no longer remember if one or three means favorite. But the default here was equal.
You can put it in your user dictionary (computer) or document dictionary (goes with the document).