Short answer The first state-organized, maintained overland route that let you travel by land from “Sweden proper” into “Swedish Finland” ran at the head of the Gulf of Bothnia via the Torneå/Tornio crossing. It came together in the early 17th century and was formalized as a postal road in the 1630s:

• On the Swedish side: the Norrland coastal road (Kustlandsvägen/Norrstigen) was extended north and improved in connection with the crown’s 17th‑century town foundations (Umeå 1622; Piteå and Luleå 1621; Torneå/Tornio 1621) and incorporated into the royal postal network under the 1636 postal ordinance.
• On the Finnish side: the Ostrobothnian Coastal Road (Pohjanmaan rantatie), in use since the late Middle Ages, was upgraded and made an official post road in 1638, running up the coast to Tornio.

At Tornio/Torneå the two roads met across the Torne River. Crossing was by ferry in summer and over the ice in winter; there was no permanent bridge until the 20th century (railway bridge 1919; first permanent road bridge 1939). But from the 1630s/1638 onward there was a continuous, crown‑maintained overland route between Sweden and Finland that did not rely on the Åland archipelago sea passage.

What existed earlier?

• Before the early 17th century there were local tracks and sections of “public roads” along both coasts, but no continuous, state‑maintained road all the way to the Torne River. The far north only acquired towns and crown‑driven infrastructure in the early 1600s.
• Sámi and trader paths (birkarlar) and seasonal “winter roads” existed earlier, but by your definition (a purpose‑built, regionally maintained road) the first such overland connection dates to the 17th‑century postal road era.

Why this matters for 1808–1809

• By the Finnish War, the coastal and river‑valley roads on both sides of the Torne River were well established, which is why Russian forces could advance overland through the Torne Valley and along the Bothnian coast; late‑18th‑century improvements had made these routes “good roads” by contemporary standards.

Pointers to sources

• Swedish postal ordinance of 1636 (Axel Oxenstierna) establishing post roads, including along the Norrland coast to Torneå.
• Finnish post established in 1638; the Ostrobothnian Coastal Road (Pohjanmaan rantatie) became an official postal road then.
• On the roads themselves, see Swedish material on Kustlandsvägen/Norrstigen (e.g., county heritage guides) and Finnish material on Pohjanmaan rantatie (Museovirasto/Heritage Board, regional histories).
• On the Torne River crossings: Haparanda–Tornio history notes the first fixed crossings were the 1919 Victoria railway bridge and the 1939 road bridge; earlier crossings were by ferry/ice as part of the post route.