I had similar questions when I saw the bit in Ballad of Buster Scruggs. Must be set during the Lapland War.
Yes, there was Lapland war 1944-45, as after armistice Russians deliberately demamnded Germans out in 2 weeks, which was impossible task and then Allied control comission forced Finns to start war against peacefully withdrawing Germans. In the beginning it was "gentelemens war", where shootings and targets were mutually agreed upon, but some whistleblower commie was betraying it to Russians, who then forced Finns to start real war by threats of occupation.
Anyway, nothing like that in the trailer happened. Germans were using burned land tactics, but helped to evacuate civilians and gave them supplies, behaving in almost everywhere correctly towards population. Most of them were smart enough to understand the situation and many had good friends among Finns.