As a Finn, I must say that Britain seems closer to the US than Europe, as silly as that may sound when you look at history and the world map. Britain is culturally and politically connected to the US than most other European countries and it surely doesn't help that in the media of my country, Britain is most strongly represented in things that involve the English-speaking countries. I mean, when you talk about Europe, you're talking about some 50 countries and even when you're talking about the EU, you're talking about almost 30 countries. Britain doesn't really shine through all that much there.
Also, Britain just seems to be kinda "out there somewhere" to me. I feel somehow connected the Netherlands, Germany, Sweden, Norway, Russia, Denmark, Iceland, and so forth, but Britain is mostly "that place I saw on TV". And every time I've spoken with Brits IRL, there's always a kind of awkwardness to it. I've studied English for at least ten years and learned a thing or two about the British culture while Brits don't even need to know much about my country. This makes conversation a bit unequal. When I'm talking with people from Norway, for example, it's far more likely for the Norwegians to know just about as much/little about my culture as I know of theirs. I find that preferable to this one time when I had to explain a British lady that my country is not a part of Denmark while she told me things I've known since second grade when I first started studying English.