The main problems are How and Why.
How do they support the Finns? By sailing a lovely fleet of arms up the Baltic Sea? A little difficult with all the German ships, not to mention the Soviet ships in the area. It's little more than Submarine fodder.
The second is Why? True, the Nazis and Soviets aren't at war YET but the Nazis won't exactly consider the Soviet invasion of Finland any better than the Western Powers will. Starting a war with the Soviet Union whilst there is a more clear and present danger on the doorstep is madness.
If the US was more onboard with greater invention and taking a more proactive stance towards resolving the European conflicts then MAYBE it would be worth the risk.
However, any changes that make British and French intervention logical can easily butterfly away the existence of the conflict itself. The Soviet Union moved against Finland BECAUSE Britain and France were tied up with Germany. No war with Germany, the Soviet Union probably won't move against Finland.
Besides, the Swedes and Norwegians are no more eager to go to war with the Soviet Union than they are with Germany. Any war fought between Western Europe and the Soviet Union will inevitably take place on THEIR soil. They don't fancy having their homes destroyed in a war that gains them nothing and exposes them to massive losses.
The Swedes did debate intervening in the Winter War but ultimately decided against it. However if the Soviet Union had been more successful they may have changed their mind. In that case though this would have pushed them closer to Germany, who had a greater ability to supply weapons, than the Western Powers who still would have had trouble getting past the German ships.
