Jodecast was probably referring to the history of the country, not to a personal history. Finland as a country certainly have had it's share of rough times in the history. At first 800 years part of Sweden, then brief time as autonomy grand dutch of Russia until people had it enough and fought for independence. Then couple wars against Russia and against all odds Finland remained independent.
The question and comment was not about what people have or don't have, but "are you proud of your country?". Finland doesn't have tons of oil like Saudis or Norway has and there are problems in Finland also, but still our predecessors managed to build a decent society and country. So, yes I'm proud what my ancestors had to go through and still things turned out to be pretty good in Finland compared to many other countries (which may even have more natural resources, oil, gold mines, natural gas, cryptonite, whatever). Maybe they are missing practical, co-operative and down the earth people like Finns are often characterized? It is something to be proud of in a good way, not in extremist ultra-nationalist way which often leads to political chaos.