Another strange alliance - when the Finns fought "with" the Germans against the Russian. I'm using quotes because they weren't allies, really, but were against a common enemy at the time. Some discussion of that in "The Winter War" - http://www.amazon.com/Winter-War-The-Finland-1939-1940/dp/08....
I'm not sure what discussion you mean, but the Winter War was, as the title says, in the winter 39-40. Finland and Germany only started fighting together against Soviets in 41 (Continuation War). There wasn't really anything strange about that de facto alliance; Germany wanted to attack the Soviets, and Finland wanted back the land lost in the Winter War. Naturally they would cooperate.
Depending on how you define 'Democracy', you could count the war of 1812 (USA vs UK) as two democracies openly fighting. Both had elected legislatures & executives at the time (although both with a heavily restricted franchise)
UK (and Canada, Australia, etc.) did declare war on Finland, and attacked a Finnish harbour[1]. While USA didn't declare war, I doubt anything would have changed if they did, since Finland was out of their reach anyway.
