The entries in the perimeter are Iceland, Sweden, Denmark and Norway. In the completed grid FINLAND and its capital HELSINKI have to be highlighted in blue to reveal the flag of Finland and complete the set of the five Nordic countries.

The first letters of the clues spell THE COUNTRY WHERE I WANT TO BE, which is a reference to the Monty Python song “Finland”. It is not necessary to spot this to complete the puzzle but it may raise a smile for anyone who does!