There is an argument to be made that Finland was split. Just look at the post-1940 Karelo-Finnish SSR, which could also seen as a successor state to the Finnish Red government of 1918. Especially from a TL where Finland was joined into the *USSR and the Finnish SSR was given much of Eastern Karelia up to the Murmansk railway like was planned, the OTL situation would very much look like there being a West Finland and an East Finland. This would be particularly true if in that TL the Soviet Union falls and Finland gains independence while holding major parts of Karelia.
I find it hard to see a chain of events leading to the Baltic states being divided in the WWII era. They are just too damn small for that, and really Stalin keeping his hands off their Western parts would probably need a strong disincentive (like WAllied boots on the ground there). As it was IOTL, all the 1939-40 (and earlier) demands made on the Baltic states as well as Finland had one single goal behind them: joining these states into the USSR like they had been a part of the Russian Empire. Finland could avoid this fate due to a mixture of an ability to defend itself for a while and lucky historical contingency, the same for the Baltic states is a lot more difficult due to their small size, unfortunate location and the kind of terrain that does not lend itself to be defended against a strong invader.
With a split Finland, I was thinking more of Kuusinen 1939 and less of Eastern Karelia, since that was outside the Grand Duchy, and Orthodox.To return to the above about Finland: there is only so much more Finland could have given up to the USSR and still continued to exist as a relevant, functional state. Returning to the Treaty of Åbo borders of 1743 might be doable, but more than that is pushing it. If the USSR is in a position to demand even bigger concessions and Finland in one where it needs to give much more, we can ask why the Soviets do not just take Finland over entirely and be done with it? Again, we would need a reason why the Red Army stops or Stalin accepts anything but an unconditional surrender (and making Finland a SSR or a satellite People's Republic) if the Finns end the war in a much weaker position than IOTL. Things were touch and go as it was.
And to make it simple, imagine a WW2 peace treaty where a line is drawn north-south approximately through the middle of each of these countries. It could have been part of a 1943 German-Russian deal that was since broken, but this detail stayed on, or perhaps all the four states give up control of their eastern half in 1944 in exchange for independence in their western half, or they are each split in four occupation zones (like Germany and Austria) in 1945 due to having been axis partners. Anyway, having half of their country sounds better than having none of it post war, although that probably means a permanent loss of the eastern half.