Finnair (the national airline of Finland) sounds a little bit like “thin air.” New York-born newspaper columnist Bennett Cerf (1898-1971) wrote in March 1970 (referring to a 1969 story in Saturday Review):
 
“THE ENTERPRISING directors of Finland’s airline have opened a luxurious ticket and information office in mid-Manhattan. So now, points out a Mrs. H. Teison, you can stroll innocently down Fifth Avenue, and disappear into Finnair!”
 
A luggage pun was posted on Reddit—3amjokes on December 31, 2017:
 
“My baggage was lost on a layover in Helsinki. Guess it must have disappeared into FinnAir.”
 
   
Wikipedia: Finnair
Finnair (Finnish: Finnair Oyj, Swedish: Finnair Abp) is the flag carrier and largest airline of Finland, with its headquarters in Vantaa on the grounds of Helsinki Airport, its hub. Finnair and its subsidiaries dominate both domestic and international air travel in Finland. Its major shareholder is the government of Finland, which owns 55.8% of the shares. Finnair is a member of the Oneworld airline alliance. In 2015, it transported over 10 million passengers to over 60 European, 13 Asian and 4 North-American destinations. At the end of 2016, the airline employed 4,937 people.
   
Finnair is the sixth oldest airline in continuous operation.
       
UNZ.org
Google Books 
30 August 1969, Saturday Review, “Trade Winds” by Jerome Beatty, Jr., pg. 9, col. 1:
Herb Teison notes the opening of a new foreign airline office on a corner near his office in New York. “Someone can just walk down Fifth Avenue,” he says, “and disappear into Finnair.”
 
Google Books 
The Reader’s Digest
Volume 95
1969
Pg. 164:
The opening of a new foreign airline office in New York City prompted one man to say: “Someone can just walk down Fifth Avenue and disappear into Finnair.’
—Herb Teison, quoted by Jerome Beatty, Jr. in Saturday Review
 
26 March 1970, Lubbock (TX) Avalanche-Journal, “Time Out To Laugh” by Bennett Cerf, pg. C-10, col. 2:   
THE ENTERPRISING directors of Finland’s airline have opened a luxurious ticket and information office in mid-Manhattan. So now, points out a Mrs. H. Teison, you can stroll innocently down Fifth Avenue, and disappear into Finnair!
 
Google Groups: net.jokes
Mysterious air travel incident
Matt L. Fichtenbaum
12/18/84
A 747-load of travelers vanished on their way to Helsinki.
   
They apparently just disappeared into FinnAir.
     
Google Books
4 December 1989, New York magazine, “New York Magazine Competition” by Mary Ann Madden, pg. 242, col. 3:
Interpol had been alerted, and agents strategically covered the departure fields of International Airport. The man they sought had vanished. “What happened to him?” inquired an inspector. His sergeant replied, “He just disappeared into Finnair.”
Sonia Charif, N.Y.C.
 
Google Groups: soc.culture.nordic
Coded messages in Finnish?
.(JavaScript must be enabled to view this email address)
6/28/93
(...)
Ob. Finnish joke: coming back from Helsinki I lost my briefcase. You might say that it “disappeared into Finn Air”. Hohoho.
 
Twitter
Woolworths.co.uk‏
@team_woolies
VC with China, colleague @ other end lost luggage, blaming airline. Used phrase “disappeared into Finnair” instinctively reached for iPhone
6:36 AM - 5 Mar 2009
     
Twitter
Alison Powell‏
@CakeGenie
Replying to @JACKPACK_UK
@JACKPACK_UK @Finnair not to make light of this, guys, but couldn’t help ‘the luggage disappeared into Finn air’ popping into my mind ! 😱😄xx
3:58 AM - 25 Nov 2015
 
Twitter
The Enigmatic One‏
@wine_punk
Replying to @oldpicsarchive
They lost all my luggage once. It disappeared into Finnair!
4:57 AM - 12 Oct 2017
 
Twitter
John‏
@JFD1960
My luggage went missing on a flight to Helsinki. It just disappeared into Finn air
9:18 PM - 16 Nov 2017
 
Twitter
keepingitcreel‏
@Keepingitcreel
My baggage was lost on a layover in Helainki Must have disappeared into FinnAir.
2:37 PM - 24 Dec 2017
 
Reddit—3amjokes
My baggage was lost on a layover in Helsinki self.3amjokes
Submitted December 31, 2017 by Scatterpulse
Guess it must have disappeared into FinnAir